An alternative to burning the WMA files to CD (which is permitted for some but not all OverDrive audiobooks) is to use
FairUse4WM to remove the DRM and then convert the files to MP3. I had to set up a
VirtualBox with an older version of Windows Media Player installed to get this working. This is much faster than burning to disks which can be annoying when an audiobook consists of 10 CDs.
Another option is to burn to a virtual CD drive using software like
Virtual CD. But that is very time consuming since you then need to rip the virtual CD back into MP3s.