While there have been technical methods of getting round it (usually with older software versions that only work until their DRM licence expires), the good old solution is to play-record using internal or external loopback - or to grab the digital data using Total Recorder.
Loopback recording may not be digitally accurate, but you can do it free, or buy a slightly more refined solution -
http://www.tunebite.com/ One thing to watch out for, with a lot of the services, you only RENT the tracks on extremely poor terms... never mind listen and limited burn, it's usually limited listen and no burn!
Better to find some sort of internet radio tracker, and play or record from there.