Most music downloaded from pay-for sites (like iTunes) are DRM protected.

The music companies want to make sure that the file is only played or copied a certain ammount of times (according to their terms and conditions).

Currently there are a few different types of music files that are protected by a type of DRM. iTunes protection has been broken, but as for any other's I really don't know.

There is still a bit of a legal argument going around as to if you are allowed to strip the DRM encoding out of a media file that you have paid for, so for that point I won't give you any hints about how to get around any protection (sorry!).