WMA is a windows audio media file. It is roughly equivalent to mp3. You need wmp to create wma files. However, I'd recommend you looking for mp3 or m4a files instead. m4a (=mp4 audio) is mpeg 4 audio type of file.
BTW there's 2 different types of wma files. One is lossless & the other is lossy. Almost all wma files you'll find on the network will be lossy. Lossy means it throws information away to help reduce file size. mp3, mp4 audio/m4a, ogg, rp are all lossy formats. More on audio formats here
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