WHole albums, then are they albumwrap? Have a look in the LW Open Discussion section of this forum for a
Sticky about How to downld a whole album/albumwrap. Albumwrap can unwrap them for you.
Alternatively they might use a codec wmp doesn't have. Might I suggest a backup audio player: QCD which is free & has in-built codecs:
http://www.quinnware.com/