How would i make it so in my program there is a button when that button is clicked i want it to play a .wma file without opening and media player?
Gstreamer is a free, cross-platform multimedia framework written in C (using GObject) that allows encoding/decoding for many types of media, including wma. Very easy to use and well documented.
For Windows, in all honesty your best bet is DirectShow. The RenderFile API allows you to play most audio file types with just a few lines of code.
The best part about DirectShow is that it's a part of the Windows platform so you don't need to bundle an external component.
The C++ standard does not include this functionality. That means it depends on what your system offers.
For Windows, you can try something like PlaySound.
However, you best bet is to use a pre-existing library, like:
Searching for C++ Sound Library brings up a lot of information.
Also, check out these three other SO topics:
Although the above answer mentions it (and everything else, it doesn't give any recommendations so...), FMOD is the king of C++ sound (the most used) and works great so I'd recommend FMOD in particular.
KDE's Phonon is a cross-platform(!) C++ multimedia library. It supports native sound systems as backends. Worth a look if you haven't seen it before, and a simple video player can be written in a mere 83 lines of code.