You'll have to convert to mp3 format.
If you really can't face converting all your files to MP3, there is an App called Poweramp that will play wma files. It is not available from the Nook Store though.
You would need to either sideload the App using ADB, or access the Google playstore using the XDA route mentioned in other posts or any one of the N2A/ RootmyNook/A4N boot cards.
Best thing is to search the Boards or the internet for descriptions of how do use these methods. If I post weblinks, this post will be taken down!