I've never seen this kind of behavior in After Effects. I'm going to assume that you are using a system that is typically used for producing DRM protected media and that the default options for your Windows Media format are setup to use a DRM system. This would be part of the configuration of the encoder itself and should be available from the encoding and format options (not the exact name, I don't have AE on my current computer to check, but it's the setting right below quality level in the render queue.)
Without knowing the exact encoder being used, I can't really give any more direct feedback than that. If you can post the exact encoder being used and the version of AE, I can give some more specific instructions later when I am at my home desktop.