Hmm, I'm not sure Madison...this sounds a little funky. It may be a number of reasons including (but not limited to):
1. The way the sender attached or sent the WMA file.
2. Are you using a Mac, Linux, or PC?
3. Your firefox browser does not recognize what to do with the WMA file.
Can you right-click on file and select Save Link As..? If Firefox 3 allows you to save the file to your computer as a WMA file, it's probably a browser file association or OS configuration issue.