I got audio without the video

I use the XP cd program whenever I like to burn a cd. I had no problem a couple
of weeks ago, useing the same program with the same Jensen cd's blank. last
night I tried to copy some video files that i had downloaded and viewed on the
Media player, and Movie Maker. It is not an avi format. I think its WMA (
Windows media audio/video ). After the burn, I tried to play it back and all I
got was the audio portion...BTW, this is not music audio, its talk audio.
Anyone know what went wrong? Also, can this type of file be converted to more
popular formats..such as avi or mp?