The basic answer to your question is Yes, they can be converted, however, it's quite a lengthy process and not always very successful, since the Technics sounds will be replaced by standard MIDI sounds. I often use edited sounds in my sequences and these sounds cannot be converted to Midi format.
The WMA files cannot be converted to MIDI, since they are purely Digital Audio Files.
Incidentally, the file component (.MSP) which Windows wrongly shows as a 'Windows Installer Patch' is the file component for the Performance Pads - nothing to do with Windows Installer !
Tech Tip number 12 explains the functions of all the file components.
You say that 95% of the songs play OK - I would be interested to know what problems you had with the other 5%
After silence, that which comes nearest to expressing the inexpressible is Music.