The songs listed in the playlist must exist on your computer. Some playlists are lists of songs out on the Internet, and you can listen to the playlist, but you can't convert it. You would have to download each song to your computer before you could convert a playlist like that.
In other cases, the songs may be in different locations than when the playlist was created. Just right-click on the songs themselves to convert them, or update the playlist.
Finally, if the songs are WMA files, they may be copy-protected. This is most likely the case if you purchased them from an online music service like Napster. Check with the music service to see what you are legally allowed to do with those songs.
Supported playlist types:
.asx, .cbs, .cl3, .cl4, .cl5, .m3u, .nra, .pl, .pls, .pya, .rcl, .rmp, .rxp, .wax, .wpl, .wvx, and .xml
(Windows Media Player, Acoustica MP3 CD Burner, Roxio Easy CD Creator, Winamp, Nero, Sonique, Cakewalk Pyro, Real Jukebox, & iTunes play lists!)
We don't have any software that can convert a playlist from one type of playlist to another.