tmonkey, the .m4p extension is for DRM protected files, so you should probably use a .m4a file instead. If you convert MP3 audio to AAC in a .m4a file, it should be playable by almost anything that supports AAC, including iTunes, WMP, and an iPod.

Try these instructions from Apple in iTunes and let me know if it works for you:
http://support.apple.com/kb/HT1550

Agree - I'd stick with MP3 if I were you, pretty much a universal format, and definitely works on ipods