If the songs are from a CD you hold, you should be able to re-rip them into an unprotected form by changing the WMP ripping preferences (under Tools) to plain old WMA, MP3, or WAV. Downloaded songs protected by DRM, and CDs which employ DRM to prevent copying, however, are outside that domain and, due to the DMCA, circumventing such protection cannot legally be discussed.

As to another MP3 player, Winamp is a popular option, as it iTunes.