I don't think you can do it with Windows Media Player, you will probably need some kind of a plugin. Much simpler to just to search for standalone encoder software that can do it for you. Apparently dBpowerAMP (never used it myself as I can do this within my existing audio editing software already) can convert different file types including WMA and MP3 but you must download the relevant Codecs. Its also free, which is nice.
dBpowerAMP: http://www.dbpoweramp.com/dmc.htm
dBpowerAMP Codecs: http://www.dbpoweramp.com/codec-central.htm