By-pass WMP then!!! WMP loves DRM What you should know about WMA/WMV Files. WMP & M$ are out to make money$!!!. Use your normal disk burner instead of WMP. Else get a free one. Birdy or Wondering Why will suggest what to get to use for video burning.
Oh I just realised you meant audio burning. For files that have been purchased online then there may be a licencing issue. Are you sure you can play the songs before you're attempting to burn them?