To save as .wma, one additional download is involved. You need to get the FFmpeg library.
This downloads as a self-extracting executable (.exe) file. When you run it, it will create a number of other files, so I suggest that you save it to an empty folder. Double-click the file to run it. This will create eight files in the resulting folder. You want to copy the eight files and paste them into the
C:/Program Files/Audacity
or
C:/Program Files/Audacity 1.3 Beta (Unicode)
program folder.
Then in Audacity, go to Edit, then Preferences. On the Import/Export tab, on the right, above “FFmpeg Library,” do you see some text showing the library version numbers?