There is a reason that WinMX is not designed to share .wma
files by default.
Windows Media Player imbeds personal information about the computer that was used to rip the tracks or files. Its not obvious unless you know how to look for it. I am no expert but in some of the tools I use I often find this information and for that reason do not download or upload .wma files. Its just spreading that personal information.
You can convert these tracks to .mp3 but this will not alter the imbeded information, and if I can find it you can bet that the experts can also.
My best advice is to rerip these files if your intention is to share them on any P2P Network. You can use a free ripping tool, CDex for example is great. Rerip the tracks you wish to share, and feel safe knowing your not one of the ones that has your info spreading across the P2P networks.Cdex Free Ripping Tool
If your determined to share .wma files, as the above poster discovered its easy to add this file type to your Shared File Types then refresh your shared folders.