I am having the same problem now with an entire album.
Tomorrow I have to make that inevitable phone call to see about getting a refund or fixing the problem. I understand the "no refund" policy however until they provide the content that I purchased the transaction is not complete. They received the money, I received nothing therefore our purchase agreement has not been honored by Microsoft and if it is their intent not to honor that agreement then a refund is in fact due. A no refund policy relates strictly to transactions in which the seller met their obligation.