Sounds like to me that either some of the songs are copyrighted and that's why it won't let you convert it. some songs you get from P2P sites are sometimes copyrighted wich can be changed by rightclicking the file and unchecking the copyright, i think.
i would use Windown media player to convert them to .wma first, but first check in the media player's prefrences, and un-check the box for the copyright. that way when media player converts it, it won't leave the copyright in it.
" Let the music move you "