My feeling would be that the files are DRM encrypted. If you not familiar with this read
here. You will not be able to play the files that you paid for on a device not authorized by Napster. Stupid huh?
As for burning a CD and ripping it, that should work. It's not lossless and it's a pain but you may not care. If you used Windows Media Player to rip it you may have had the "Copy Protect Music" option clicked in the Tools-Options-Rip Music tab.
Good luck. Too bad they have to make life difficult for people that actually pay for music.