How can I change a music clip file type? I want to save it as wav to use for my messenger.?

I have saved clips from songs onto my computer and the one I want to use is a 2 second clip but when i try to change the file type as I am saving it I can only save it as what is in the drop down menu. Is there a way to change that or a different way of saving? I cut the clips down in windows movie maker. When I try to put them in itunes it converts from wma to m4a which is not compatible with the sounds and alerts for Yahoo messenger or for changing the sounds on my computer for other programs.