I know how annoying it is when you buys songs from Windows Media Player and the songs can't transfer to your ipod because of the DRM. I use Protected Music Converter and it works fine for protected WMA files. There is a free trial that limits to 2 weeks. And it will convert the file completely.

And for Rhapsody users, you can download your music as (protected) WMA files by clicking on Tools/Preferences/My Library and select the download format as WMA instead of RAX. Then you can use Protected Music Converter to convert the protected file.

At least it works fine for me.