There are a number of software solutions to break copy protection, but the other option is the way I usually go. You simply play the files and rerecord them (using TotalRecorder or something similar) as new wav files without any copy protection and then do what you want with them. I agree though, it's a total drag to have to do this.
have used total recorder (about 10 bucks) for that for years, but the levels have to be set just right.
i got a week free trial from napster, automatically downloaded, replayed, and recorded(on total recorder) by artist, wma files 24 hours a day for a week.