Ipod/Downloading/Windows media Player

I have my music on Windows media player and im trying to trandfer them to my itunes but it says i cant transfer them because they are WMA and it cannot convert it to AAC and i have downloaded a program to help change the format of the music so you can put it in itunes but it says to put it on a CD??? IF I burn the music on a CD and then put it back in will the songs load on to Itunes? or am i just totally f**ked?