You could convert them, but that requires you download the DirextX9 SDK, and that's a pretty huge download.
Personally, I'm waiting for someone to come out with a third-party xWMA converter. 500Mb just to convert a couple audio files is not worth my time.
http://skyrimnexus.com/downloads/file.php?id=3159
The music in the PC version is fully available. They're packed in a BSA, but they're very simple to extract. They're compressed into the .xwm format, which certain players (like VLC) should be able to play as-is, or you can convert them with something like the linked tool.