Is this supposed to happen with Bearshare?

Okay, so I download music from Bearshare & i try to open it up to my default media player (vlc player) and I don't hear anything, I tried to open it with my Sony Vegas and it won't open. Is it because its format isn't .mp3? Because all the songs I've downloaded are of .wma format. I've tried looking for .mp3s but it's harder. And I don't want Limewire because I don't like it, I've heard crappy stuff about it.