the built in recorder (Notes) does not record in .wma.
To convert it, you need to transfer it to your desktop and convert it there. The easiest way is to use Audacity
. Import the file and export it to .wma.
In the future, you can use Microsoft Office OneNote to record it. New-->Menu (lower-right)-->Insert recording. The .cab can be found here
(Is it considered warez? If it is, I will remove the link promptly).