To sync to a portable device it needs to be compatible with Windows Media player 10 which most Pocket PC's / Smartphones aren't.
I have the same problem with my iPAQ 2210 and C500 Smartphone, both running Windows Media Player 9.
Now, from the MSN Music store UK, I had the advice to burn a CD from my protected tracks, then to re-rip them to MP3 (thus removing the DRM) so I could transfer them to my portable device!
My preferred method is to buy from eMusic.com which has no DRM restrictions (but indie labels only, so no Britney

)