Europeans outside of registered countries

So, I'm in Denmark. We don't have amazon, but buy via the Sweden or Germany.

I was just trying to purchase an mp3 version of an album (that doesn't exist in cd format), only to find out that it impossible for me to buy mp3s visa amazon.

What do other people do? Do un-amazoned Europeans just not buy mp3s via amazon, period?

This is quite a frustrating.