I think Sony's players can only play DRM-protected files from their Connect service. The HD5 can also play MP3 files (after wrapping in their OMG format, which doesn't change the quality of the files, just adds a layer of frustration for the users).
So, I suppose you could buy the files from Walmart's site, burn them to a CD (if that's allowed from Walmart's service) and then rip them in MP3 format or ATRAC (Sony's proprietary format). You would lose some quality when you went from Walmart's format (WMA?) to MP3 or Atrac.
Also, I think that jogging, etc., is not recommended with any HD player. I would imagine it wouldn't crap out immediately, but would probably shorten the life of the unit.
Sounds like you're sold on that other unit anyway.
Does the HD5 play files boughten from walmart downloads.com. If not is there a way to convert those files already purchased and saved in my computer to a file format that the Sony NW-HD5 will play? Also if I bought an HD5, would I be able to use it in the gym, for running activities? I have read that flash players are the only players that should be used in the gym, but what about the Sony? Also what player is better, the Sony NW-HD5 or the Cowon Iaudio X5. The fast that the sony can't do FM is a huge downer, and the video playback(while not perfect) is just icing on an already delicious cake. But what do you think?