Either its original extension has been changed & is not what it should be, else it's a file format you don't have codecs for. eg: m4a or mp4, etc. If it's an mp4 audio file, you can just as easily change the extension to .m4a
If you don't have the correct codecs, see CODECs list for Movies/Audio/ Alternate players / Video help forums/ video-mp3 fixers (click on link)
You will also need to go to WMP's preferences (options) & enable (turn on) the codec.