The CD player in your cars cannot read WMA files, but they can play MP3s.
So they're working fine!

You download files in whatever format they were made. Want a WMA file in MP3 format? Search for the MP3 by that name! There is probably software available that will allow you to convert the file from one format to another. You might search for such a utility at download.com (or other free software site). I know such utilities exist for video files.