Well bringing a file into iTunes will allow you to right click and choose convert. But depending on file type, may not get you what you want.
If you just have .WMV (or AVI, or MPG, etc) files on your computer and you want them converted to work with the iPhone, I would suggest this free converter.
http://www.videora.com/en-us/Converter/iPhone/
I have used it to convert home videos of my kids and have them on my iPhone now. That software will also add the converted movie directly into your iTunes library for you.