Is it asking you to put them into Window Media Player format?
If the editor you are using is Windows Movie Maker, it might be asking for files in .mpeg or .wma format. If so, there are free converters online.
To change the file assotations in windows (so your files will play in Windows Media Player) you need to go to Control Panel.
Where you go from there depends on which operating system you use.
For vista go to: programs -> Default programs: set your default programs.
For XP go to: Default programs: set your default programs.