In the US a song is copyright as soon as it is put in some sort of permanent form. However, for legal protection one needs to register that copyright.

Again;In the US - El Greko's answers would apply as far as the song being considered PUBLISHED.

Furthermore - (and again - I know this holds in the US - do not know in other countries) as long as mechanical copyright fees are paid you can't be prevented from recording a PUBLISHED song.