Here you can read about WMA files:
http://en.wikipedia.org/wiki/Windows_Media_Audio
According to Apple:
Converting WMA Files
In iTunes for Windows, you can convert your unprotected WMA files to AAC files (or whatever file format is chosen in the Importing pane of iTunes Preferences) without changing the original WMA file. Simply drag the WMA files into your library in iTunes and iTunes does the grunt work, converting them for you. Windows Media Player 9 or later must be installed to convert unprotected WMA files. Protected WMA files cannot be converted.
And if you want to read the whole story:
http://www.apple.com/itunes/hottips/