Winamp can do it in a roundabout way. It can't do it directly, I don't believe. You can set winamp to play WMAs. You can also change the output plugin from audio to file (it'll make a wav file). So run the WMA through (it won't play, it'll just convert) and then take the WAV and convert to MP3.
Don't forget to restore your output plugin to the audio plugin, or you won't be able to listen to files.