I'm having the same problem, and I do not have ITunes or a Mac, I have Napster and a Dell.
And I have Napster-to-go, which means that the songs are available for upload to my MP3 player and other devices without having to purchase them. But, if I want to burn them onto a CD or use them in another file, like a Sims Movie File, I must pay the stupid .99 cents.
But, they will not show up or play in-game. Nor are they playable by other programs like Windows Movie Maker, even AFTER I purchase them. I use Windows Media Player to sync with my son's MP3 player, and I use it to burn CD's of the purchased songs, and have a devil of a time trying to get them to play nice together. Napster will not recognize my son's MP3 player at all, (it's a San Disk Brand), and half the time I can't get WMP to find the files we just downloaded with Napster. Just as Napster advises, I updated my WMP to the new (10.0) version. Still no go. Half the time, the stupid thing adds duplicates of the existing files to the libarary instead of finding the new files like I told it to, even with the "Search for New Files Only" option.
I have a very extensive music libary, and I would love to play my music in my game. But, I can't figure out how to make it work. I'm really mad at Napster and the whole music-copywrite deal. Before I got Napster, at least the music that I ripped off my own store-bought CD's would play in game, but now they will not.