wma files may or may not be copy protected. As such there aren't many "legal" ways for you to convert that file to something that can be recompressed to mp3. I'd be weary of discussing them here but google is your friend.
if it's not copy protected. for windows you have MediaCoder
http://www.mediacoderhq.com/ should have everything you need.
it's not ideal to convert audio codecs that are lossy like wma -> mp3 but if you got no alternative....
Also, have you tried putting the wma files on the thumbdrive anyway and they dont get detected? If so, you may be able to get away with just changing the filename extension to .mp3 and they may play fine. You just wont have any meta data (you'll depend on the filename only for track info). This is how i play my flac files.