Neal,
I am not sure what computer you are using or which version of itunes you are working with. To find out whether your song is originally downloaded in apple lossless format, go to itunes, select one of your songs, go to the itunes toolbar, click on "get info", and an info panel will open. It has all sorts of info about that song. Look for "format". It should say "apple lossless". If it does you are good to go. If it does not, you need to re-set your import preferences. Best of luck!!