WMA is the format used by Windows Media Player. If you're using a PC that has Windows on it, you can download Media Player for free from Microsoft's site (you may also be able to download it if you're not using Windows, but I'm not sure).
Media Player will let you burn CD's from your songs and it is totally legal. I've done this with every song we've ever downloaded that's in WMA format with no trouble.
The Zune can play songs in WMA format, but the iPod can't. Many other players can only play MP3 format. I had an older one that would not play the WMA format. For that one, after I downloaded the song I burned it to a CD, then ripped the CD to MP3 format. It meant having duplicate songs in my library, but it could be done.
I'm not sure what songs you want to put on the CD, but I'd suggest trying
Amazon's digital downloads to see if they have them. All of the songs on Amazon are in MP3 format and are Digital Rights Management (DRM) free, which means they will play on most any MP3 player (iPod, Zune, etc.) and you can burn them to CDs easier.
Hope this helps!