well, if they're not copy protected i THINK windows media player can convert to wav, and there are a number of programs to convert wav to whatever else you want.
if they are copy protected (napster downloads, etc...), then u have to burn them to cd and then rip them to whatever format you want (mp3, ogg vorbis, wav, etc...).
wma's are the evil empire when it comes to working with ssl, or pretty much any other dj software.
Josh