No conversion necessary. Simply add it to the program by drag & drop the song files onto the Library icon at the top of iTunes playlists. See multiple methods of how to add songs to iTunes here How to transfer music to my iPod (& iTunes).

If your question is about why don't the audio files have iTunes icons, then you need to make iTunes the default program for each of mp3, mp4 (audio), m4a, aiff, wav, etc. See Setting default audio program (click on link). To reiterate, you need to make iTunes the default program for "each" of those audio file formats. So you need to repeat the process for each type mentioned.