Reply to Buy Music

So, I was believeing that I want to buy musics from Itunes and then burn them to Cd's so I can organize them as I want, but let's imagine I go to a gig where I only have Cdj's, then i just will need to bring my cd's case.
Then imagine that police goes to that gig and asks me to see my music so they can see if it is illegally downloaded or bought from somewhere. So my question is, how can I show them I bought the music on Itunes? I don't have my computer there and I just have some burned Cd's.
When I buy music from Itunes I get some kind of certification on a papper that I bought it?
Do you buy music from anywhere or just play with downloaded music?
(Thanks and sorry for my begginer questions and bad english)