The type of copy protection that is being used allows an initial recording (such as to a hard drive of a DVD recorder/Hard Drive combo, a Cable DVR, TIVO, or direct to DVD or VHS), but will not allow the initial recording to be copied again (such as making a copy from a DVD recorder hard drive or Cable DVR to DVD, or from DVD to DVD or DVD to VHS).
Unfortunately there is no way around this with consumer equipment. This would be the same no matter what brand or model of DVR, DVD recorder, or VCR you have. It is simply the luck of the draw as to which programs are copy-protected. You will see an increase of this practice, especially after the DTV Transition in 2009, as digital transmissions allow for copy-protection to be more easily implemented. For details on HBO's copy-protection scheme, check out their FAQs on Copy-protection.