"respect the copyright rules" is a gross simplification.
WMM2 doesn't know what you're going to do with the movie you create, it also
doesn't know where you got your content. So it just refuses to use anything
with DRM attached to it.
This is a perfect example as to how DRM can be in conflict with "fair use".
The "fair use" provision of the US copyright law says that I don't have to
ask the copyright owner for permission to use the work, if my use is subject
to the "fair use" clause.
Using a song that you've purchased in the making of a movie with WMM2 for
your own personal use (i.e., viewed in your home; not distributed over the
internet, or put on a CD/DVD for anyone other than your self) is more than
likely "fair use" of copyrighted material. You can probably even make a
small number of CD/DVDs to give to friends & family and still be in the
clear.
I am not a lawyer.
One work-around for this particular situation might be to rip the files from
CD to which you you burned them; you might want to check the license
agreement from your on-line store before doing this.
Dan