if you are using Windows then media player should be fine. Linux has many options like Rhythmbox, Amarok, and Grip. if you are looking for a way to change .wma files to mp3 format i've always had luck with just changing the file extension.
Yeah, I've used DeepBurner before. It works pretty good for burning audio cds. Try this program out. Its called CDBurner Xp Pro. It lets you burn pretty much any type of cd, and its still free. Here's the link if you want to check it out.
I use iTunes, because if use WMA then I have to convert the music again to iTunes format to add them to my iPod. Anyways, you can use google, and you can be sure something good will appear.