Windows Media Player cannot burn or synchronize (copy) the file because the license or device prohibits it.
Protected files (also known as licensed files) are digital media files that are secured with a license to prevent unauthorized distribution and playback. The license can specify how you can use the file; for example, a license can specify whether you can burn the file to a CD or synchronize the file to a portable device. The terms of the license are specified by the person or company that provided the file.