Download the MP3 from the URL. Right-click on the song file name and select "Save As." Save it to a place where you can easily find it.
Download Audacity. Install it by opening the compressed file and double-clicking on the application icon. The setup wizard will guide you through the installation process.
Start Audacity by double-clicking on the application icon.
Drag the MP3 file from the website URL to the Audacity work desk. It will import the file.
Select "Export..." under the "File" menu. In the Format drop-down menu, select WMA as the export format.
Click "OK" to close the dialog box and your MP3 file will be converted to a WMA file.