Most audio players can convert from mp3 to wav. Perhaps it's the directory level you're having issues with or, the files are being shared & the converter is having problems dealing with that. Go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here:
Using Library Explore button to access downld folder (click on link) & then copy/cut & paste or drag & drop to a new location. Then use your converter to open them from there. The default location for your downlds is C:\Documents and Settings\"your account name"\Shared