WMP will burn them to CD "IF" you have the correct codec. The last thing you want to do is convert one lossy format to another. Lossy formats throw away information to help them reduce in size. So you'd be losing quality to convert from m4a to mp3. But you can convert them. Any of those programs mentioned will be able to do play & convert m4a. I generally use iTunes & it can convert m4a. It can also burn audio cd's. It doesn't rely on codecs to be downlded. iTunes has them built into the program. Why not check it out. Just click the iTunes link I left above.

If you want the codec for wmp to play & burn m4a then go here & get 3ivx http://www.free-codecs.com/download/3ivx.htm