A couple of years ago I paid for and downloaded music from MSN and put it on an MP3 player. It's stored on the computer and I can see the music in my Windows media player, but I can only download some of it onto the Zune because the other songs are "protected". Yet I could download all of the music on my old MP3. I assume since the songs are license protected there's no way around this other than buying new music from Zune.
Also can I buy music from other sources like Napster or Phapsody, and if I can, how do I get the music onto my Zune