Unfortunately Napster to Go only support as small amount of [broken link removed].
Convertion of files protected by Janus (The Micro$oft DRM used by Napster to Go) will only allow you to play and to put it on the compatible player, which checks after a defined time if you still have a license. Burning to CD with WMP is out of the question as the license would not allow that.
So only recording would be an option but wouldn't it be better just to pay a certain Russian site for traffic or buy it at some online dealer?