you can convert .wma files to .wav files with winamp. Just select the nullsoft disk-writter plugin under Preferences/output plugins in winamp, click configure and select where you want the .wav files to be saved on the HD. Encue the files that you want to convert and then 'play' winamp will then go through the files and convert them, you won't here any sound, when it's finish look in the directory you chose.
Burn the .wav files to a cd in nero or easycd..