With Outlook Express in XP you can use various formats to embed in an e-mail, including WMAs. I would imagine Vista would be the same. Are you sure you are navigating to the correct location in your directory to the file you wish to use? Try copying one of the files to your desktop and embed it as
maviscoull has outlined. If you are sure it is the file WMA format, this can easily be converted to WAV format.
First thing to do for your convenience is to save the file you want to use in an easily remembered and accessable place, so I use my desktop.
Double click the WMA file in the Windows Media Player and through the top left tab (FILE) you will be able to "save media as......" to your desktop. This will save it as an WMA copy. Now go
here to download a free converter program. Install it and when it starts up click the "same as input" option in the settings. You can now instantly convert your WMA file to a WAV file which will appear on your desktop also. Shift this to where you'd like to save it permanently.
Now you can embed the sound in any e-mail in the usual fashion.