You have some DRM-encrypted files on there. When you reset the Factory Settings, it apparently deleted the licensing codes for these files. You’ll most likely have delete them and re-load the player. A quick and easy way to do this is by formatting the player. If they are Rhapsody (or other subscription) tracks, you’ll probably have to re-authorize the player with Rhapsody.
If these tracks were from CD’s you ripped yourself and you used Windows Media Player and saved them as .wma format files, you can either change the rip settings in WMP to not add “copy protection” (as is its default setting) or better yet, rip to .mp3 format.