WMA is the format of the music file. There are many different formats for music files on computers, the most common being mp3, wma, aac and wav.
You can download free software that will convert your music from wma to mp3 format. There are many programs on the market but I suggest you try either:
Free WMA to MP3 Converter
http://www.download.com/Free-WMA-to-MP3-Converter/3000-2140_4-10494268.html
or
dbPoweramp (in my opinion better as you can use it to convert many different file formats) This used to be free but is now only free for a limited period. There are old free versions here though:
http://www.aussiecommunity.com.au/forum/showthread.php?p=30663
These will convert existing wma tracks on your computer to mp3. In future if you want to add any music from cd to your phone either use the software that should have been provided with your phone (which you can usually download from the manufacturer site if you don't have it) or use the following Windows Media Player settings to rip your cd:
Open Windows Media Player and click on :
Tools >> Options >> Rip Music
Under the "Rip Music" tab you will see rip settings and format. Click on the drop down format list to select mp3. Now when you rip any cds to your computer using Windows Media Player they will already be in mp3 format and no conversion will be needed.
To add them to your phone you usually need the software that came with your phone (again, if you don't have this try the manufacturer site) as well as some kind of compatible connection (usb cable or bluetooth dongle).
Hope this helps.