WMP by default adds “copy protection” (aka DRM nonsense) to its .wma files to prevent anyone from playing them on an “un-authorized” device (which in this case is your car’s stereo). You’ll have to re-rip them, either by first un-ticking the “copy protect” option in WMP’s Rip Settings if you still want to use .wma format, or by choosing .mp3 format instead.
MP3 is more universal and you don’t have to worry about DRM or files not playing in a certain device. Also as I mentioned before, you should manually set the player to MSC mode (Settings > System Settings > USB mode) so that your stereo unit will see your player as just another memory storage medium. Note that if you add a memory card to the player, your stereo won’t be able to see it either. It’s not smart enough to see 2 different drives, which basically it would be. It will only see the internal memory.