May I just say that the whole 'fat burning zone' thing is a pile of carp. It is true that when you work at lower intensities you body will use more fat than glycogen to create energy. However, losing weight is about the calories you burn not the amount of fat. If you exercise in the 'fat burning zone' for 1 hour and burn 400 calories or you exercise in the 'aerobic' zone (70-80%) for 40 mins and burn 400 calories you will lose the same amount of weight. The term 'fat-burning' is more scientific than literal.
The 'fat-burning zone' is better used in long distance training to help get your body more used to burning fat instead of glycogen so you can make the glycogen stores last longer.
Apologies if this is confusing, if I can make it any clearer please let me know.
Just to add to the point that groovy made. You will only have to convert from WMA format if you have previously stored the music you want on your pc - and only if you have stored it in WMA format - normally via windows media player. You can rip (copy) CD's using iTunes and iPods can use music in MP3 format if you already it. Personally Ive set my iTunes to rip in MP3 format anyway to make it easier to put it onto other players.