Chris Pirillo explains how and why DRM sucks eggs:

Now, I’ve already downloaded Pearl Jam’s new album through Napster. I can’t listen to it in either Rhapsody or URGE. I’ve paid for it already! So, let’s say I turn off Napster and switch to URGE. I’d have to download the album again. What’s more, Windows Media Player / Windows Explorer doesn’t tell me where the album came from - I have to guess. I have to play (by trial and error) to see which albums are supported by which service. THIS IS MADNESS! Why can’t the individual file detect which service I’m paying for and then adjust itself accordingly? Why must I maintain three DRM’ed versions of the same song?

It's as if you needed a different CD player for each label you bought a CD from. That's probably something the labels would have liked, but it simply wouldn't have washed with the public.