If you want them as normal audio CD's then windows media player will create the CD direct from WMAs with no extra software.
If you want them as the data file on a data CD then
http://www.formatoz.com/ will let you convert them, although I can't see many problems with keeping them as WMAs and burning them onto the CD, WMA is pretty well supported on all formats now.
I'd guess that the ones that don't play have a strange bitrate or codac of some sort, format factory might sort this out, try it on one and see... If it doesn't then you may have to download something to analyse the file to see what codecs and bitrates it is.