How can I get my books that I download from the Library that are WMA files into my I tunes so I can listen to them

How can I get my books that I download from the Library that are WMA files into my I tunes so I can listen to them. They have a ton of books but I can only listen to them from my windows media player and I wouldlove to download to my I pod but I have tried everything I can think of it they won't go over. Someone said all I had to do was copy them over and they would convert but I can't even get them to copy. Thanks.