Video on demand to dvd?



i paid for a complete video on a video on demand website… downloaded to my hard drive it came in a windows media audio/video file format… when i try to copy it to dvd it says it is copy write protected… i can watch the video fine on my pc but i am unable to make a dvd of it… is there any software out that will remove this copy write protection so i can make a dvd of this movie?? thanks