All CD's are copy guarded but you should be able to make two personal copies before it kicks in. It might be that the Annie Lennox is on the SONY label? They have a habit of overdoing all their copy guards on their CD's and DVD's and on their hardware like a CD/DVD burner, either in a computer or separate component. So Windows Media Player might not be able to rip a copy, but Real Player, Quicktime, or perhaps SONIC software would be able to. If the Lennox is SONY, that kind of explains SONY not favoring WMP -- they're in stiff competition in the game industry and will often make their products incompatible with the other.
DVD movies are usually copy guarded so you can't cub to video tape or onto a disc. I have an old GO VHS/DVD combo which would copy DVD's onto VHS tape, but it didn't always work.