This info I found a CNET -
"If you want to download your purchased songs, simply log on to the service's
Web site, and you're taken directly to a list of your songs, each of which has a download icon next to it. The tracks you save to your PC are protected WMA files (Windows Media DRM 9) encoded at 128Kbps. This isn't top-notch quality (192Kbps is the best for WMA), but it's much better than the 32Kbps AAC+ files that are saved to the phone. Initially, we tried to play our first track in Rhapsody, a DRM 9-compatible player, but it couldn't find the license. It turns out you need to use Windows Media Player to play all the tracks first so that it can find the licenses for you; it knows where to look, apparently. After this first play, however, you can use any media player capable of playing protected WMAs, such as Rhapsody. You can also transfer the track to an MP3 player with protected WMA support, such as a
Creative Zen Micro Photo, though you cannot transfer them back to the phone in this format; the Samsung MM-A920 supports MP3 and AAC but not WMA."
I don't think you'll be able to play them on your phone without converting them. As protected WMA files the only way I can think to do this is to load them into WMP, burn an audio CD and rip 'em back to MP3. Anyone else got an easier way?