WMA is Windows Media Audio.
There are two basic "flavors" of WMA. One kind is unprotected; the other kind has copy protection and encryption on it.
There are several Mac programs that can play unprotected WMA files, and programs that can convert between WMA and other formats, such as AIFF and MP3. Sadly, though, I am aware of no Mac programs that will play a copy-protected WMA.
Not even Microsoft's Mac version of Windows Media Player will play a DRM-encryptted WMA file on a Mac. This is intentional; Microsoft made a big push a couple years back to get the encrypted version of WMA accepted as the standard way to distribute commercial music online, with the two benefits for Microsoft that all the recording studios would have to pay Microsoft a royalty, and that people who used Macs or Linux were out of luck--the price of admission to legal WMA music was running a Windows PC.
Didn't work so fell, and the Microsoft "PlaysForSure" campaign (which many industry insiders and tech commentators called "PlaysForSh-t") largely flopped. Microsoft even tacitly admitted as such, since the Zune does not use the DRM-encrypted PlaysForSure WMA files (it uses a different DRM system altogether). But you still occasionally see these DRM-encrypted files--most often on commerical music CDs.
So, you might be able to get those WMA files to play on your Mac, but if they are encrypted or copy protected, then you're almost certainly out of luck. Sorry...