Windows Media Files need to be converted before you can play them in iTunes, so they won’t drag and drop like MP3s and AIF files right off a music CD into the iTunes window.
There’s a free utility that will convert WMA files, though. It’s called All2MP3, and though it doesn’t convert any file to an MP3 as its name implies, it does convert WMA files, as well as many others.
Drag and drop your WMA files to the All2MP3 window. Sometimes, you will get a warning that the translation won’t be perfect, but it worked fine for me. Get the converter here: All2MP3