Quick explanation of DRM:
With normal mp3, it's become very easy to copy music. Record industry doesn't like this, since the old way was very hard to make copies so they've got used to this.
So, they protect the music (or films or whatever) with DRM. This supposedly makes it harder to share music illegally (though in practice the whole thing is stupid since it doesn't, and they need to change their methods and accept the old ways are over).
The problem is that the DRM used is not universal. This makes it potentially very annoying for consumers. Apple (who make iPod) have their own DRM system. Microsoft has their own DRM system they made for the other manufacturers (used to be called PlaysForSure, heard of it?).
It's already happened: Microsoft made their own player, with its own new DRM scheme (not just used their current PlaysForSure stuff). So, anyone that had bought music online with PlaysForSure, then goes and buys a Microsoft Zune player, finds that all their music won't work.
Likewise, all music from iTunes Music Store won't work on anything except iPod. This is ok if you have an iPod, but if the business goes downhill in a few years and Apple stops making iPods and then yours breaks, or you buy a different player, your music suddenly won't work.
And anything you do to break the DRM, so you can do what you want with it, is also illegal.
Short solution: don't buy stuff with DRM in it. This usually means just buy the mp3 tracks online, or stick to CDs.