Many .wma files are protected with a DRM license. This means that you cannot copy them or convert them.
There is a solution however - you can use Replay Music to record them as MP3 files. Here's how to do it:
Open Replay Music.
Start a new recording session.
In Windows Media Player (or other player), make a playlist of the .WMA files you want to convert, and then play it.
When the playlist has finished playing, Replay Music will have MP3 files waiting for you. All songs will be tagged with the artist, album, title and genre information.
Some videos are copy protected with a DRM license and cannot be converted. Use Replay Video Capture to record these videos as you play them from your desktop instead.