my apologies... you may not have done anything wrong.
After installing dBpowerAMP music converter, you will have to download additional BUT optional Codecs for additional conversion options.
There are a lot of different codecs for this software. Download the codec WINDOWS MEDIA AUDIO (wma) at http://www.dbpoweramp.com/codec-central.htm
Wave files are really very large sized files I only use this format when burning an Audio CD. Hope you get the software working... it's really great to have many songs in your PDA