This is Microsoft's fault more than Buymusic.com (Score 2, Informative)

Reason I say that is because it's the exact same problem that LiquidAudio has. WMP9 does the exact lookup of licenses for Liquid WMA tracks. Also both Liquid and Buy have you download songs individually, maybe, again, something to do with WMP9? Only good difference between LA and Buy is with Liquid you can use the builtin WMP9 burning. Just a thought