When you choose File>Import, the “Files of Type” drop down menu at the bottom of the Import window should be set to “All Supported Files”, not .wma.
Legal issues aside (I am not a lawyer), using I Tunes songs requires using I Tunes to burn a Red Book audio CD. Then you can use Windows Media Player or whatever to “Rip” the song as a supported file…wma or wav.
The other alternative is to Play the song in I Tunes and record the playback in an app like Audition.