Because that is only a network shared playlist that is listed. It can be played but not copied or burnt. (It's a part of iTunes ability to share playlists over a network.) You first need to add the songs to iTunes music library. LW 5 does have the ability to automatically transfer music files to iTunes as soon as the songs are downloaded. See How to transfer music to my iPod (& iTunes) {click on link} about how to set up auto-transferring & how to manually add the songs you have already downloaded to iTunes.