This issue will occur if the track (song) licenses did not properly transfer with your track library.
A possible solution to resolve this is available on the Rhapsody web site at:
WARNING!!: One of the steps in the solution is to format your player and then re-transfer all songs.
BEFORE you do this, please make sure you have transferred all files from your Walkman® player to your track library on a computer because all files on the player will be deleted during the format process.