It's in Windows Media 7 format; the exact file format details can be found on the Rhapsody support web pages if you do a search.
Rhapsody is definitely worth trying -- it's an unbelievable deal if you want to discover new music. Their classical selection is already quite good and they add more albums by the day. If you're looking for major classical performers, you might be disappointed though, since a big chunk of their classical selection until recently was from Naxos. No problems with the variety of composers, just the performers. Sony Classical, etc. artists are now starting to appear though, so this is less and less of an issue. Their opera collection is still kind of weak too.
That being said, Rhapsody is an incredible bargain. Even if you're only going to use it to burn a couple of Naxos CDs per month, you're still getting your money's worth. The streaming service is awesome too, and I'll bet you'll find yourself using it all the time. (I listen to Rhapsody almost all day at work.)
Another major plus about Rhapsody is that you can sample artists you'd never consider otherwise. I'd never buy a rap or country music CD in a store, but through Rhapsody I've discovered a few artists in those genres I like. Sure, you could download the tracks as MP3s on KaZaA or something, but it's a pain in the neck. Rhapsody is just click and play.