I am thinking you are perhaps interested in converting files purchased online to MP3. Files purchased online use Digital Rights Managaement (DRM). The MP3 file format does not support DRM. Windows Media Audio (WMA) and MPEG* 4 (M4P, aka AAC - Advanced Audio Coding) are the formats commonly (and as far as I know, exclusively used) for digital transmission of copyrighted music. Apple uses M4P/AAC while the rest of the world uses WMA. The MP3 format is a much older, the original in fact, MPEG standard. MP3 stands for MPEG 1 Audio Layer 3. It is a music encoding standard that revolutionized the world. It was the first format to drastically shrink audio files w/o loosing quality. It is far smaller than WAV or CDA formats, but the original version does not allow for DRM. Many of the earlier music players only support MP3 format (such as the early RCA Kazoo players or the early Philips Nike-branded PSA's and many, many more). Even shortly after the advent of WMA players, many of them did not support DRM which was really silly. Now most are supporting WMA DRM. The latest WMA and M4P/AAC standards boast significantly greater file compression. I have not seen any difference from MP3 personally. However, the newer formats do support streaming, which means that the music (or audio) does not have to complete downloading before playing.
Now, to answer the question as I understand it:
This has been an area of much grief to many world-wide who have earlier models of portable digital music players (true MP3 (only) players). I began by doing it one of two ways:
1) Burn a disk and then rip the disk. This was easier in the first few months after the advent of DRM. Today though, Windows typically ships w/o an MP3 CoDec (enCODer/DECoder). This means that you have to go to the web to find an MP3 decoder. Also, I believe within the past 2 years, the developer of the MP3 standard has suddenly decided he wishes to claim royalties on every single song converted to MP3. This seemed to make MP3 CoDecs harder to find a year ago. I have not searched lately. I think the most popular MP3 CODEC is the LAME CODEC. I think this is still free. Google (or Yahoo) it. Finding the instructions to install the CODEC is not too hard. There are a few companies that charge a large one time fee for their MP3 CODEC for whatever reason, and there was once (I think from or through Ahead Corp, Germany) an MP3 CODEC that charged on a per use basis. Stay clear of that. That may have passed by now. It may have been an industry transient. I hope.)
2) The music can (rather painfully) be converted in real-time (part of the pain part) by rerecording the music while playing the music. This is especially a pain if done manually since a) you must start and stop recording on each song and 2) you must manually key in i) file names and ii) ID3 (v1 and/or v2) tag info.
HOWEVER, there is a program that will do BATCH file conversions of DRM music in a real-time record manner. It is called *TuneBite*. It will name the files based upon tagging info in the WMA (or M4P) and also will rewrite this track info to the MP3's ID3 tags. Simply grab a handful of files to convert and let it rerecord them in real-trime. This process is slow and will also record any other sounds that come across the same audio channel (such as "bells and whistles" from other programs). It is highly advisable to do this with NOTHING else running (perhaps while you sleep). I find it annoying that if it encounters an error, it does not proceed to other files -- it stops.
http://www.tunebite.com
It'll even allow you to record internet Radio. It is really sweet! But not free.
NOW, IF YOU WISH TO CONVERT NON-COPYRIGHTED WMA (NO DRM):
There are many, many options. Windows "Plus!" will do this and a-lot more and is reasonably priced for what all comes w/ it and considering it comes from Microsoft. There are oodles upon oodles of freeware and trial versions and shareware and low-priced software to do this also. I recommend checking out C|net at
http://www.downloads.com
IF you go w/ Microsoft "Plus!", then from w/i WMP (Windows Media Player), you can simply right click a selected song or block of songs and choose "Send to--> Microsoft Plus!"
*(Moving Picture Experts Group)