According to this CNet article, Long Island-based E-Data has filed suit against Microsoft over their new music download service in Europe.
The company's patent reportedly covers "the transmission of information to a remote point-of-sale location, where information is then transferred to a material object", which the company claims describes the process of downloading music and burning to CD-R.
The patent expired in January 2003 in the United States which means Apple's iTunes Service, launched in April 2003, will not likely be the target of a lawsuit.