Is the songs you downloaded in either mp3 or wma format? Or does it say something diferent when you click on it to download?
As for picking just wma files, See where it says: Quality, Name, Type, Size, Birate, Speed and such? Click on the tab "Type" till it brings up in order either mp3, wma or what have you and it will show you all of either mp3 or wma files first. Thats the best way to search them.
Hope this helps you.