This is because you are not using Pocket Tunes Deluxe with Napster. Only Pocket Tunes Deluxe supports on-line stores and libraries.

To use Napster with Pocket Tunes, install the latest version of Pocket Tunes and purchase a Registration Code from http://www.pocket-tunes.com/purchase.html . If you already have a code, you need to enter it into Pocket Tunes, exit once and re-enter to allow it to set to Deluxe mode. then you should be able to transfer from Napster and the message should not appear.

For more information on using Pocket Tunes with Napster see this Knowledge Base article.