If you are receiving this error, it is likely due to the fact that the media you are attempting to play requires a license.
This is not just related to .wma files, it is also related to .mp3 files as well. There are many different music formats that have built in 'Digital Rights Management' otherwise known as 'DRM'. This is part of the reason that Windows Media Player was chosen for use with StreetDeck. WinAmp and other popular programs do not include the ability to play media files that incorporate DRM technology.
Also, if you are playing a CD, and eject it, you may receive this error message as well.