Need help in uploading audio file to WMM/legitimately purchased mu

Hi:
I just purchased a song that I'd like put put into a WMM file I'm creating.
I paid for the download on Zune and it says it won't allow me to download it
to WMM as it's right management protected. I also had the same song
purchased through iTunes and that won't upload either. I thought it was a
codec issue so downloaded various codec but that didn't fix the issue -- I
noticed that there is a lock icon on the MP4 icon so I think it's rights
protected. My only purpose for purchasing the songs was to put it into the
WMM file/
I'm tempted to purchase the music CD at the store but am concerned that I
will right into the rights management issue again. Usually when I have
created WMM files, I've burned the music CD to my PC and it has uploaded to
WMM. These have typically been older CDs where there may be fewer
restrictions on content protection.
Any suggestions would be greatly appreciated.

Thanks!
Annette