The iPod supports AAC, MP3, and WAV files. Check this site for a list of converters: http://www.burnworld.com/software/mp3/converters.htm
There is one listed, Audio Converter v4.05, that says it converts wma to mp3. The quality may suffer when you convert since you are taking a compressed file and recompressing it to a different format.
I'm sure there are plenty of others too, another source is http://www.download.com/