I'd advise you to never purchase songs from most legal stores, right now. This includes the iTunes music store. The songs are crippled with something called DRM, which is just as bad as spyware. Basically it stops you doing things like this, and it's terrible.
To get it to play, burn the file to an audio CD with iTunes (make sure in preferences it's set to burn an audio CD, add your song to a new playlist and then burn that playlist), and then re-import that file, which should now be a regular aac or mp3 file. This will play on your phone.