I can't answer UK specific, but I'll give you my best US-centric answer:
- playing the music file with a third party media player application (i.e. not in the manner originally intended by the software designer)
- Probably not going to give rise to a copyright claim because no copy, other than the ephemeral copy that resides in RAM as you play, is made. You are still using your original copy, albeit decoding with a different application. However you need to review the software license terms to see if anything precludes this, like clauses preventing disassmebly, reverse engineering, etc, may be broad enough to prevent this use.
- transferring the mp3 files to another device (e.g. a portable music player) for the purpose of listening to them independently of the software on the CD.
- You are making a copy, and not doing it for archival or backup purposes. This could probably give rise to a copyright claim if the author cared.
- trans-coding the music from one (unencrypted) file format to another (for example, compressing the music from .wav to .mp3).
- Making a copy again, and it broadens your usage beyond the intended original license. If the author cared, it could probably give rise to a claim.
There are lots of fact-specific nuances that apply here and all. If you are doing this all for your personal use and not making any money from it, it is unlikely that the original author would care and less likely that a court would side with them. If you are posting to YouTube or selling copies, or other commercial-esque enterprise, you are more likely to face a successful claim.