Customer Service: IPOD - MSN Music
How can I get MSN Music downloads to play on my iPod?

The iPod does not currently support the Windows Media Audio (WMA) format, and it will not natively play any songs that are purchased from any service other than iPod. If you are an iPod owner, and you want to play MSN Music songs on your iPod, you can send feedback to Apple ato ask them to change their policy and add support for other services.

You can try the following workaround to get songs from other services to work on the iPod, but note that this method is not supported. To transfer MSN-downloaded music to an iPod, you must burn the music to a CD and then import that CD into iTunes. This process will convert the music into a format that can play on the iPod. View the information about how to burn music to a CD. Note that our usage policy restricts you from making copies of music other than for personal use.