Playing Music On An MP3 Player If an MP3 player supports the protected Windows Media Audio (WMA) format, it should be able to play music that is downloaded from the MSN Music store. However, if your MP3 player does not play the music that is downloaded from the MSN Music store, you can burn the music to a CD and then convert the files to MP3 by ripping them in that format using Windows Media Player. View information on how to burn music to a CD. Note that our usage policy restricts you from making copies of music other than for personal use