That's simply because .wma is a microsoft proprietary format.
It's able to phone home (just like .rm and .ram, by the way), and so it is a danger to your private data security.
The best solution would be, not to download wma-files. Infos:
http://stopdrmnow.org/
Besides: You stumbled into the Phex Forum with your question, which also is a Gnutella p2p Program, but isn't LimeWire.
Maybe that had a reason, and you should
give Phex a try...
Have a nice day
