First, make sure you've got the latest version of MP3 to Wave Converter PLUS.
If that"s not the problem, your computer may not have Windows Media support installed. Download and install WMA support.
The songs may be copy protected with DRM!
If you purchased the WMA files from certain commercial sites like Napster, Wal-Mart, Yahoo Music, or MSN Music Downloads, the songs may be copy-protected. Check the music service's web page for information on what you are allowed to do with those copy-protected WMA files.
If you "ripped" or copied them with Microsoft's Windows Media Player, you may have accidentally left the "copy protection" flag on. Unfortunately, this means you will have to re-rip or copy them. :(