They will be .m4a audio files. Put simply, Windows Media Player will not play those audio files in that format.
There are a few workarounds however, with mixed results.
1. iTunes plays those files natively as they are from the iTunes store. Free media players such as Foobar 2000, VLC and MediaMonkey play these audio files too so you needn't have iTunes if thats not what you want. Apparently the Windows version of iTunes compresses audio and as a result music that usually has a lot of detail can sound a little false and a bit mushy.
2. Convert the .m4a files to .mp3 or .wma - If you insist on WMP, then this will be your only choice. There are many free audio converters available and all should recognise .m4a files. However converting a lossy audio file to another one will result in a quality drop. WMA files are smaller and don't sound too bad but imo, .MP3s sound a bit cleaner above 192kbps.