I don't THINK you need to convert the files...my current iTunes files are ".M4A" extensions and Windows Media Player 11 plays them fine. If however you do have a file extension that WMP doesn't like...
I personally like a program called "SUPER" by eRightSoft. It's free and it's pretty much amazing. It's a media file conversion program that convert almost any media file type to another...mpg to 3gp to MP4 to AMV or M4A to WMA to MP3....the list goes on and on.
My two warnings about this program though:
1: their website is nearly impossible to navigate to the DL link...I've downloaded for several computers and each time it takes me almost 10 minutes to get there. (beware the ads, all links should be imbedded in the text, not pictures).
2. SUPER is a BEAST on your system resources and can give older computers a run for their money. To prevent lock ups, I'd suggest that you set the program to run and then leave the computer alone while it does it's thing. Audio files are usually pretty quick, but if you have a LOT of music and time will add up....the caveat, is if you have a newer and pretty fast computer you can probably multitask. I have Window 7 64 bit running i5 @ 2.5 GHz with 4GB of DDR 3 ram, and it handles the multitasking fine.
Hope this helps, good luck.