Sonar 3 has .wma support, as well, so I'm not sure what to tell you...what exactly are you clicking on, with Sonar, it should just be a matter of File-> Import Audio-> and then use the browse button to select the file.
Is it possible that somehow the .wma's bitrate isn't supported by the sound interface you're trying to use? As well, if you're trying to import audio into a Sonar project that is set at, say 20 bits, and the audio is 16 bit, it can get fussy. Check your audio settings.
Unfortunately, I've never actually come across this problem, and I'm not familiar enough with Audition or Cubase to advise. You shouldn't be having a problem doing this, though.