I used to get a problem when having burned a CD - in XP Pro WMP9 a process that involves sending the disc to the CD ROM drive and then telling it to burn it to disc - afterwards it would not let me delete the file ready to be burned from the D drive window. It was unable to because it was in use. Sound Familiar??
Solution in my case was to cold boot the computer return to the D drive from explorer and continue as if nothing had happened. It then allowed me to do what I wanted.
I suspect however that your problem may be linked to a copy protected disk. I know that some record companies are now coding disks so they cannot be played on computers. e.g. Rod Stewarts latest offering.