Try output option set us "Disk writer" and play the song. It will be outputted to your hard drive and will be in wave format. Then you can do whatever to the file..
If you have extracted aax files, you can use my method:
-find, download and install foobar2000 (it's free) -download foobar vgmstream plugin (choose the newest one) and download file vgmstream externall dlls, both are here: http://joshw.info/vgmstream/ -put foo_input_vgmstream.dll, libmpg123-0.dll, libg7221_decode.dll and libvorbis.dll into components folder of foobar2000 (you can find the folder where you installed foobar) -then you can open aax files for playing and if you right click file on the foobar playlist, you can choose convert option....... to get mp3, aac, ogg etc. as an option, you need to point foobar's converter to mp3 lame encoder (lame_enc.dll), nero aac encoder or ogg encoder just once. Those files you can get by searching with Google...
Have you ever tried to convert AAX to an MP3 file? MP3 could be the most compatible audio format. It is much more convenient to use MP3 files on different devices, which are converted by the AAX Converter.