You can add songs or other audio files from your computer's desktop to your iTunes library.
Drag the audio file from the desktop to the Library in the Source list (or choose File > "Add File to Library" and select the song file).
If the file is an unprotected WMA file and you have Windows Media Player Series 9 or later installed, iTunes makes a copy of the file in AAC format - or whatever format is chosen in the Advanced pane of iTunes Preferences (in the Importing section) - and adds it to your iTunes library. The original WMA file remains unchanged. You can't add protected WMA files to iTunes.