WMM (windows movie maker) will not import .mp3 audio/music if the files are corrupt or invalid... the latter of which means the .mp3 is protected by DRM (digital rights management). In other words, the song is copyright protected.
What is DRM?
DRM stands for digital rights management. DRM is a technology used by content providers, such as online stores, to control how the digital music and video files you obtain from them are used and distributed. Online stores sell and rent songs and movies that have DRM applied to them.
Windows Media Player as well as most online stores and new devices support or use Windows Media Digital Rights Management 10 (DRM 10).