Sounds like you have loaded DRM protected tracks.
From My Computer or Windows Explorer, navigate to the folder where the files are stored on the player.
Click on View and select Details.
Right click the header which has just appeared in the window and select Protected.
Scroll through the tracks. Any tracks which show "Yes" under the "Protected" heading are not compatible with the player.
If you are downloading these files from the internet, then you'll have to look elsewhere for files.
If you are ripping your own CDs to .MP3 or .WMA with Windows Media Player, then you need to change a setting in Windows Media Player.
Open Windows Media Player. If visible, click on "Tools" then options. If the menus are not visible, right-click at the top of the Media Player Window, then select "Tools" and click options.
Click on the "Rip CD" or "Rip Music" tab (depending on version).
Remove the tick from the box next to "Copy Protect Music" (or similar)
This will stop DRM protection on any further tracks ripped.
You will need to rip any DRM tracks again.