WMD audio files is a format used by Microsoft’s media software and they are becoming more and more common.  However, if you want to listen to those files using anything other than Microsoft software, they will need to be converted.  Fortunately, this is very easy to do.

A WMD file is just Microsoft’s version of a zip archive and they already contain the sound files in an MP3 format. 

All you have to do to access and listen to the sound files is to rename the extension from .WMD to .zip, and open it with whatever unzipping program you already have on your computer.  Easy.