You can't sync an iPod using Windows Media Player. You need to add the songs to your iTunes library first, and then sync those songs to the iPod.
This document provides more information (Add to Library section)
NOTE: The WMA files (the file type used by Window Media Player) need to be unprotected (no DRM). They are converted to a format supported by iTunes while adding to the iTunes library. This WMA conversion feature only works in the Windows version of iTunes (Mac users cannot do it).
I believe you can drag and drop the WMA files, or the folder containing the WMA files, onto the iTunes window. The original WMA files are not changed. iTunes creates its own converted files at the location it stores all the iTunes media files.