I'd use iTunes myself or another program such as one that makes it work with QuickTime to be able to convert.
iTunes can play & burn wma files.
Otherwise, Wondering Why gave you a link to their forum. In the first section listed would be a good place to ask.
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Normally I should imagine you open the file & go to file menu & choose convert to or save as ... that's the way most audio programs work. In the case of iTunes you select in list from Library & go to advanced menu bar & choose convert to.