Man saying 'Illegal Copy' in mp3-Song

[Stefan1231]

Hi there, i downloaded and bruned an mp3 song (Feurio) when i listen to it, it breaks at a certain time and an annoying noise is followed by a low quality recording of a man saying 'illegal copy'.
When i listen to the song with winamp or feurio wave player, this doesnt happen....how can that be?
Where is that information stored on?