Audacity doesn't support WMAs due to copyright issues. If you're hearing that type of noise, it might be that you're playing back a file where the same rate (e.g. 44.1 kHz) is too fast. Try lowering it.
You can record the sound directly from your sound card, allowing you to play any kind of sound from anywhere and then record it in Audacity. You can convert .wma files and .mid files played in windows media player to a more usable format this way, among other useful things.