This song is not currently available in your country or region

I bought an album in the iTunes store "The London Howling Wolf Sessions (Deluxe Edition) [featuring Eric Clapton...}". iTunes took my money, and allowed me to download it to my laptop. I synced it to my iPhone, and then went to play only to receive "This song is not currently available in your country or region".

Ugh. How do I get a refund? And why would the store allow me to download something that I cannot play?