While I am not aware of any applications that allow this, mainly I think it is against many if their file security EULA's. Plus the RCAA would have a cow.
Also I am not sure you would want this at all as well. Since file protection of the music files would prevent you from saving files to another device. IF the companies ever allowed this to happen to PDA's.
The closest thing I could recommend to you that would allow you to LEGALLY (I am no lawyer so cant say this is 100% true or not) download music and transfer files would be use
Resco Pocket Radio, and find online radio stations you like from ShoutCast. Pocket Radio would allow you to listen too content, and allow you to save ("record") songs to your PDA. The link above will let you demo the product.
Personally, I think turning an OLD computer with plenty of hard drive space into a personal file server for your “Music Collection” is the best way to go. You can use active sync to copy files to your PDA every time you swap out music on your “want to hear” folder. This is what I do personally. But I understand if everyone doesn’t have extra computers around their homes, or know how to set this type of thing up.
I hope this gives you some other options to work around your current dilemma.
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