What sort of files do you have in your Windows Media Player? Chances are they are .wmv or .avi. According to Apple:
"You can add audio files that are in AAC, MP3, WAV, AIFF, Apple Lossless, or Audible.com (.aa) format. If you have unprotected WMA content, iTunes for Windows can convert these files to one of these formats. Video content in QuickTime or MPEG-4 format can also be added to iTunes."
Files not in one of the above formats need to be converted to a compatible one before they can be imported into iTunes.