Windows Media (WMA) and Real Player (RA?) files aren't supported by the built in media player. Those you'd have to convert to MP3 first.

Which site are you downloading the MP3's from? One thing you can try is tap-and-hold on the MP3 download link and select "Save Link" from the popup menu. You'll then see the file being downloaded. When it's down, press the "Back" button to go back to the browser. Once you've downloaded each one, open up the "Storage" app and navigate to "Internal Storage" - "Download" where you'll find the downloaded files.