In order to load and save to WMA files, you must have support for Microsoft Windows Media Format 7.1. If you are trying to load a WMA file or export to WMA file and the option is grayed out, you probably do not have this installed.
To download and install it, please visit http://www.acoustica.com/plugins/wma-install.htm. (You do not need to restart your computer!)
If you've already installed WMA support, you may be trying to open a WMA with Digital Rights Management (DRM). If you created this WMA file with Windows Media Player, you could recreate it with DRM turned off. To turn off DRM, run Windows Media Player, choose Options from the Tool menu, click on "Copy Music" and make sure that "Copy Protect Music" is unchecked. You"ll have to recreate the WMA in this case. (The old WMA file with DRM will not work.)