You should get the advice of a lawyer. I can only provide a vague interpretation of the limited information I'm able to recall at this particular moment.
I am not a lawyer.
this is not legal advice.
1) possibly. it's legal to record music off the radio (airwaves) for you to personally listen to later. but for satellite radio and internet streams it's messy.
2) no. If you purchase a traditional audio CD, or cassette tape, or vinyl record, you may convert it to other formats (tape to CD or vice versa, or one of the above to Mp3) for the purpose of playing music you paid for on a portable player or in your car etc. You must make the copy yourself, and its only for your personal use.
If you purchase a WMA and you want to play it on your iPod (for example) That may fall under fair use as I mentioned above, However, if there is any encryption or other DRM with the file. You will be violating the Digital Millennium Copyright Act (DMCA). That's a felony.
3) Not legal at all. If you purchase a song, or a collection of songs (a CD for example) you have only the right to listen to them. You cannot use them in movies, powerpoint slides, laser light shows or anything else without paying royalties. (A Disk Jockey pays royalties for the music they play at parties and weddings, that's a fee in addition to the purchase cost of the CDs they use).
The only case where it could be legal, is for personal use. If you, for example, make a powerpoint slide for yourself, and then play music, (which you have purchased) at the same time, there's not anything wrong with that. But, you can't show it to your coworkers or friends and especially not the public at large.
These links will get you started with more information:
http://en.wikipedia.org/wiki/Space_...
http://en.wikipedia.org/wiki/DMCA
http://en.wikipedia.org/wiki/Fair_use
