If you didn't upgrade to the Deluxe version of Pocket Tunes, then you cannot play WMA files. Whether you use WMA or MP3 files, you will still have to add the Pocket Tunes WMP plugin in order for WMP to see your T|X as a syncable device. I *believe* that was part of the desktop app setup process -- I can't remember for sure.
To convert music from WMA (don't know what Rhapsody uses), you will need to burn it to a CD (best to use a CD-RW so you can re-use it), and then Rip it back off using WMP. Prior to Ripping, make sure under WMP you go to Tools, Options, Rip, and change the Rip Settings format to MP3. Then you can just transfer your MP3s over to the T|X through WMP.
As an "advanced" note -- the MP3s will be generic titles, etc., once you've ripped them off the CD. You will need to rename the files, and then also use WMP to "Get Album Info", which will fairly automatically find the Album, Artist, date, song number, etc., and then update the MP3 tag information so that all that will transfer over nicely to the Pocket Tunes.
