[frarob]

Directly from BMI's website:
Q: Is a tape or CD my personal property to play where and when I like?

A: No. Although, most people buy tapes and CDs thinking they are now their property, there is a distinction in the law between owning a copy of the CD and owning the songs on the CD. There is also a difference between a private performance of copyrighted music and a public performance. Most people recognize that purchasing a CD doesn't give them the right to make copies of it to give or sell to others. The record company and music publishers retain those rights. Similarly, the music on the CDs and tapes still belongs to the songwriter, composer or music publisher of the work. When you buy a tape or CD, the purchase price covers only your private listening use, similar to the "home" use of "home" videos. Once you decide to play these tapes or CDs in your restaurant or nightclub it becomes a public performance. Songwriters, composers, and music publishers have the exclusive right of public performance of their musical works under the U.S. copyright law. Therefore, any public performance, whether live or recorded, requires permission from the copyright owner - or BMI - if it is BMI-affiliated music. With a BMI Music License, you can publicly perform all BMI-affiliated music.

This, in my mind, applies to DJ/KJ, provided it is legally acquired (purchased) content.