Does the license travel with the media file?

Usually, no.

Typically, if you move a file such as a WMA or WMV to another computer, you'll have to obtain a new license.

However, purchased songs are allowed to be played on several computers, which means that you will be able to obtain a secondary license for a moved file. You will be given a license prompt, and once you login using your username and password, you’ll receive your secondary license.