If you are prompted to purchase the music, after signing in, it may be that the Clip is in MSC mode. The Sansa needs to be in MTP mode to handle the WMDRM transfers with their license data.
Look at the Clip in Rhapsody. If it appears in capital letters as E: SANSA CLIP for example, the device is in the wrong mode.
On the device (once unplugged), go to Settings > USB Mode > MTP and plug in again.
The Clip will appear now as Sansa Clip 4GB for example. Right click on the Clip, and select Authorize.
Once authorized, you can drag and drop your favorite music to the device.