I bought a CD and it won't load onto iTunes. Does it have anything to do with the fact that there is an FBI anti-piracy warning sticker on the CD cover?

Probably

Audio cd's you buy from the store are in CDDA format. CDDA is not compatible with itunes unless there is a converter involved which would change them from CDDA (wav format) to itunes format (which is aac I believe). If you search the net for something like "open source audio ripper" and look for one that will create aac files. You might be able to load the converted files.