Might depend on what kind of audio file it is. Anyway, if you want to limit yourself to WMP, try to burn it to a (rewritable) CD, then rip it to mp3 from there.
Kees
I have several tracks that I cannot save to a file directory and convert using the CNET tool.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic