You can't convert WMA to MP3 in Windows Media Player by itself, although you can use the program to listen to either of these types of files. You can find a number of programs for Windows to convert WMA files to MP3, however. Make sure to use a program that you trust so that it does not infect your computer with malware.
Understanding Windows Media Player
Windows Media Player is a tool from Microsoft designed for playing a variety of types of digital files, including popular audio formats like its own WMA format and MP3 files. It doesn't itself support converting music and other sound files from one format to another, however, although you may be able to find plug-in software that can do the conversions yourself.
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As the name suggests, Windows Media Player ships with modern versions of Microsoft Windows. If you can't find it on your computer, check Microsoft's documentation to see where to find it or enable it in your computer's Start Menu. If you're using a computer running Apple macOS, you can download a free program called Windows Media Components for QuickTime that will play Windows Media format files on your computer.
Ripping CDs with Windows Media Player
One feature that Windows Media Player does have that may be useful is the ability to rip music from compact discs. Ripping audio means to extract it from a physical format like a CD and store it in a format where you can listen to it on a computer, smartphone or a portable music player.
When you rip a CD, you will have a number of options for the format to store the audio files in, including WMA and MP3. If you have previously ripped a CD in WMA format, and you decide MP3 format might be more useful, you can rip it again in MP3 format. Make sure you change WMA to MP3 in the program's settings. To do so, click the Rip Settings menu, then click Format. Select MP3 to rip the CD to MP3.
Convert WMA Files to MP3
There are a number of software tools that can convert WMA files to MP3, many of them available for free. One popular tool for this purpose is VLC, which is available for most modern operating systems including Windows, macOS, Linux and Google ChromeOS.
To convert WMA to MP3 with VLC, download VLC from the official website and open the Media menu. Choose Convert/Save and follow the program's instructions to choose the files you want to convert, what format you want to convert them to and where you want to save them on your computer. Click the settings menu, represented by a wrench icon, if you want to change the settings for the conversion, such as the audio quality of the output files.
Make sure to use a tool that you trust and that you download from a trusted source. Some software you find online may be embedded with malware or may simply malfunction and damage your data.
Online Audio Conversion Tools
There are a number of online audio conversion tools that will let you upload one audio format and download the same recording in another format. You can use this to convert your files from WMA to MP3 format. Some common ones include Zamzar and the tool simply named Online Audio Converter.