The listing when you sort by "file type" groups together files that map to file types of the same name. Look in "Tools"-> "Folder Options"-> "File Types". If you want to make the two extensions behave differently you can do so in that dialog.

If you want to move all the "wma" files somewhere you could write a File::Find script to do it, or you could use the Windows Explorer search button to look for the files "*.wma"

I don't think that even Windows goes round gratuitously renaming your files (mind you it wouldn't surprise me greatly if it did)