MP3 files are not WMV files. First of all, MP3 is an audio file (MPEG 1 Layer 3) while WMV are video files (Windovs Media Video). You cannot convert an audio file to a video one. So, I asume you brougth an MP4 player.
To convert diffrent audio and video formats, from one to another you can find lots of tools on the internet. To convert them has nothing to do with the fact that the extensions are allocated to a player or another one. Probably your converter is not so great but this tool:
http://www.soft29.com/freeware/smv_converter.htm
seems to be well accepted by many users.
As for the extensions. Open WMP and from tools menu, allocate it all the extensions can handle.