Why are you on Media Player 9? 11 is the current version and 10 came out several years ago. That may be your problem. Also, what service are you using to download music, and in what format do the files come?
Media Player 9 is the latest version Windows 2000 can run. I haven't upgraded to XP (and don't plan to). The files are MP3 files, but the problem is not with the files, it's with the licenses. I downloaded from WalMart (yes, I even shop there on-line) and can't get the "security upgrade" to take. Windows Media Player will not play the files without the license, and I can't get the license without the upgrade.