The way some (or most) libraries work MAYBE like this:

When you open the downloaded file with the Windows Media Player in your computer, the license is automatically activated and will be expire in certain time (3 weeks, for example).

However, this only works to that specific Windows Media Player. This "license" can't block you from copying the mp3 file into other devices. Technically this is similar to that no one can really block you from making a photocopy of a paper book.