What to do with this song download ?

I downloaded a song from BeeMP3.com and have it saved in MyMusic(MyDoents). I wanted this song for my video which i make with Windows Movie Maker (WMM) but when i tried to import this song from WMM by clicking import audio and went to MyMusic, the song was not listed there. What happened ? Was it because of the song had some restrictions ( cannot be transferred ), is there anyway that i could get that song into my video ? Thanks for your help.