Se o Windows Media Player não permitir que você grave o arquivo, ele poderá ser protegido por DRM.
Para citar a Microsoft:
DRM, which stands for digital rights management, is a technology used by content providers, such as online stores, to control how the digital media files you obtain from them are used and distributed. A file that is protected with DRM requires media usage rights to be delivered with the file. The media usage rights define how the protected file can be used. For example, a right may give you the permission to play the file on your computer (a play right), burn the file to an audio CD (a burn right), or sync the file to a portable device (a sync right).
Veja o artigo, Usando arquivos protegidos (DRM) , que é focado no Windows Media Player 10 e 11.