First, ensure that the tracks are valid 'To Go' tracks and not tracks that are only available for purchase. If they are valid subscription (To Go) tracks, it is very likely that Pocket Tunes is in Legacy mode rather than MTP mode. Open the Pocket Tunes menu, go to 'Preferences' and choose 'Copy from PC preferences', confirm that it says MTP in the drop down menu. If it says anything else, select the drop down and change it to MTP, then close Pocket Tunes.

Now try connecting to Rhapsody again, you should not be asked to purchase the tracks. And should be able to download the tracks successfully. For more information on transferring files from Rhapsody, see this Knowledge Base article.