if you have Windows, you open the WMA file in iTunes & it'll automatically begin converting for you. if it doesn't it'll prompt you and ask if you wish to convert it.
Yeah, it shoudl come up in itunes and then click on the files you want to convert, then click on advanced and "convert selection to mp3" if it says something else like "convert selection to AAC" then go into your preferences (edit-preferences-advanced-importing) and change the file format preference there.