cdex help

[nanook]

i just downloaded my first .wav file, without noticing.
i've tried this by myself, but can't seem to get this one file open, in order to convert it to mp3.

first question......is important that i do? which is more compressed?
the file sounds a bit low, not quite the same as another file i got disconnected from.
i figure it's the fact it's a wav.

every time i try to get the one file...........it wants to put my whole "my music" in there to convert........and then nothing shows up.

thanks!