Please note when you first download the song, what you have is the physical file of the song. By no means that it has the license been transferred as well. Thus the need to play the song in your computer using the Nokia Media Bar in the Nokia Music Store website or by using the Windows Media Player (WMP) as this will prompt the system to connect to the server to download the license. Now once this is done, you have in your possession the physical file and the Digital Rights Management (DRM) license.
Now, to transfer the song from your computer to the phone; upon connecting the cable to the phone, please select not PC Suite mode but the Printing & Media mode and connect the cable to the computer.
Once this is done, please use the WMP and synchronize the song to your phone.
Please ensure that the song file has sufficient license rights to transfer. To check this, please right click on the song in WMP and select 'Options'; this will show you how many times can the song be transferred or synchronized. Once all the conditions are met, the synchronization is complete and you would be able to play the sing in you computer and your phone.