Only apply to Windows XP[Maybe Vista too but I can't be bothered to check].
I personally prefer MP3 because it's the more widely supported format for audio than WMA.
Yeah, I just got a computer my mom removed from me 2 years ago, it have a 40GB hard disk, with loads of crap on it, my music is 4GB. For old computers like this, the smaller the music file is better.
WMA is the best choice for the windows system, it's about half the size of MP3s but still maintain the same quality. But I did not find any free software to convert MP3 to WMA, Google search is filled with commercial crap. I have to give those webmasters credit for making crap in the first thousand results.
So after some search for the alternative, I found the exact program for the job. Who could be better at making softwares for WMA than Microsoft? After all, it's Windows Media Audio.
I'm not talking about burn MP3 to CDs and then use Windows Media player to rip it into WMA. It show good problem solving skill but it's also plain stupid.

There is a bonus pack for Windows Media Player released by Microsoft. The package is 18 MB and you only need the one program in it, MP3 Audio Converter LE.
I made a zip file of the "useful part"[1 MB], see the attachment of this post. I never tested without installation. Please be my tester.
idk if this is legal or not... but w/e, I will put it up here until Microsoft ask me to remove it.

If you want to download the 18MB version [or just because mine stripped down version does not work], get it from this link.