In order to convert file formats, you will need to purchase a converter.
http://www.download.com lists quite a few; for video, I tend to use Replay Converter, while for music I have found that by burning it to a CD and then using a ripper (if you are using Windows XP, your computer should have come with one under Windows Media Player; if your WMP does not have a ripper, then try updating it to WMP 11) to make it into a .mp3 file format. This can also be done to put your files into a .wma format (not suggestable, as .wma is not recognized by most applications) by editing your ripping preferences.
However, iTunes does not convert things between file format, except to make them into a format which can be read by an iPod. Therefore, you will not be able to download .mp3 files or .wma files through iTunes, nor will you be able to convert them into that.