That exception will stay. *.wma files are not supported by standard.
The sound support is currently bad in Java. The Sound API is not developed actively, there is no developer left after oracle toke over the Java development.
Simplest solution would be to use *.wav files.
Check this for some information on the Sound API:
Java Sound Programmer Guide
] @ oracle.com
There is a lib available for mp3 support under JMF:
Java MP3 PlugIn
And the FOBS project is said to be supporting WMA-Files. But that Project is also not continuing: