I have a computer for last two years and I learn to work well enough with it. Until last month, I was using Winamp to play the audio files on my computer. However, last month I bought 5.1 speakers and it could not work fine in any other program except Windows media player. That is why I should export m3u playlist (which I have a plenty) in WMP format.
You don't have to do that because Windows media player (at least newer versions) can open m3u files as good as WMP files. However, if you want to do that you can do that on two ways. First is to find and download some freeware software that can do that in just one step. Second way is to open an m3u files one by one with Windows media player and then export it in WMP files. If you have a plenty of those files it could last.