I discovered thru experimentation & advice from another forum member that wmp only uses references to song files - so when you add a song it acts like a playlist ... it only references it & doesn't actually import it into its own music library. So move the location or delete the original file & bang ... wmp can't play it. That's why I suggested iTunes b/c it can import files into its own music library folder thus allowing you to delete the original downlded copy or back it up onto disk. See
iTunes shared library &
How to Downld whole albums & Albumwrap
A late note in a pm from the above member: "Just as thought to add to posts make sure they block it from connecting to the internet, otherwise it sends data out on what it is being used for and what it's playing another M$ inconveince"
And also I think this brings in the idea to consider this:
What you should know about WMA Files