Stores such as Napster, Yahoo, and Rhapsody use the Plays For Sure platform, which utilizes licenses to play protected WMA files. The stores I have seen use a separate application to purchase music or use a subscription model.
This was discussed on the 4/10 podcast, talking about how someone said that DRM (or the lack of it) would kill Linux, and then Tom (or was it Molly) asked if there is DRM in Windows.
I don't know the answer, but there must be some reason that all of the music download stores, with the exception of iTunes, require the use of Internet Explorer (and usually Windows Media Player). They won't work with Firefox, et. al. I find this highly annoying and have assumed it has something to do with DRM, though this is not based on much except intuition on my part.