It's quite easy & once you have done it once you will never forget. See Setting default audio program & use the same concept.

Remember iTunes can burn CD's also. Go to edit menu -> Preferences -> Advanced -> Burning to see options.

Oh you wish to change format. That is highly unadvisable. That will mean a loss of quality if you change from one compressed audio format to another compressed format. I think iTunes can do it, if not, WMP with supplementary codecs will do it.