1. Can you play the song in WMP (Windows media Player or whatever it is called now)?
2. Can you play the song in iTunes?
If 1 is Yes and 2 is No, then the song has DRM on it that is not compatible with iTunes.
If 1 is Yes and 2 is Yes, then try File->Add Song to library in iTunes.
Have you backed up your iTunes Library this week? If not, you are risking losing your music and playlists....