Burning disk in Media Player

I download purchased music from Walmart which comes with licenses. Problems
of the past Microsoft upgrades mediaplayer and you loose licenses now have to
go through numorous things to get them back. To avoid this if I burn the
music to cd Now I have them permently. My problem is mediaplayer which is all
that reads the copyright and burns it but it won't leave the disk open it
finalizes it. So if the months of downloading at differant times something
happens I loose the licenses. Does mediaplayer have a way to leave the disk
open I can't find or is there a patch for this problem.