Adding Music to video clips

I'm wondering is it possible to add music in wma format to video clips in
Movie Maker in Windows XP? Currently, I'm using third party software called
Motion Picture 1.2E. However, I've noticed that the main audio format
supported in this software is .sbg format. Is it possible to convert wma
audio files to sbg audio format? If I decided to use Movie Maker to edit my
video by adding WMA audio to some of my video clips, would this sound be
playable on a DVD player. It's my intention to buy PC music tracks in
windows media audio format and add them some of my video clips. I would
welcome adding suggestions on the compatability of WMA audio format when
applied to a video clip track and whether the WMA is playable on a standard
DVD TV player. I know from looking at my DVD player that it supports MP3
audio files but there is no mention about other audio file formats.

Thanks

Martin