Download Windows Media Player or another CD burning software available with a free download. Windows Media Player can be downloaded by going to Microsoft's home page and searching for Windows Media Player.
Open Windows Media Player and click the "Burn" tab in the upper right corner of the application. Add WMA files to your burn list by using the navigation pane on the left side of the application. Once you locate the WMA file you'd like to convert, drag it to the burn list.
Insert a blank CD into your CD-R/RW drive. Once you have filled your burn list with all of the WMA files you want to convert click the "Start Burn" button. Once the burning operation is complete the WMA files will be converted.