Don't even bother using the Mac version of Windows Media Player, it's not very good. Try Flip4Mac, which is free, and allows you to play WMV in Quicktime. I'm not sure if it plays windows media 11 files, but it'll handle everything you download off the web.
Regardless, iTunes is so much better than WMP that I would recommend getting your tunes into Apple Lossless someway or another. From iTunes, you can then convert them into any bitrate mp3 or aac you want.