What you need to realize is that you will not be able to burn ANY files from marketplace unless you purchased the song individually. If you have the all-access pass, EVERYTHING is slapped with a nice DRM. The burner should still function, just not with the DRM files.
What you need to do is get ahold of a program like Tunebite. This will rerecord files laced with DRM into MP3, WMA, or AAC. It will also re tag everything so you won't even be able to tell the difference.
You can get it off of IRC, or one of many torrent sites. I personally prefer Tunebite Version 3.0 because it isn't much of a resource hog as the new version. If you cannot find it,
PM me and I will try to find one, or send one through email.
Good Luck, and DOWN WITH DRM!