The 6230i does not have support for Microsoft Windows Media Audio (WMA). You have to find a converter application to change the audio file format to MP3. Off the top of my head I don't know of any WMA to MP3 converters, but try searching using your favourite Internet search engine.
And look into Nokia PC Suite (http://www.nokia.com/pcsuite) for connecting your phone with your PC using Bluetooth. With its "Phone Browser" you get the phone's memory card directly visible in Windows Explorer and you can copy or drag&drop MP3 files to the phone's memory card for listening on the phone.