WMP9 & MSN Music - files inaccessible

I've just tried out the MSN Music club in WMP 9's Premium
Services section. I downloaded a temporary (1 year) file
with no problem and accessed it. However, I downloaded a
permanent track. When I go to the folder supposedly
containing the file in the Music folder I get a pop up
which says " ... refers to a location which is
unavailable etc etc".

This folder is not deletable.

Can anyone tell me how to fix this? I'm all ears. Well
they're not being used for anything else at the
moment.......

Thanks.

Steve