WMP plays the Mp3 file format just fine. Do you know what format Sony uses by default? There are ways to convert the formats with third party programs and Sony may have their own. Find out what the format is.
Are you trying to play the tunes directly from the player? You may have to copy them to the hard drive first.
I have a 4GB Sony Walkman and it syncs perfectly with my Windows 7. I store my files as mp3s and create playlists in WMP then sync them to my Walkman with no problem whatsoever.
I have never actually tried to play music directly from the walkman over my computer but when the walkman is attached via the usb cord it will show up as a drive letter on my system and I can reference the files under the music folder of the walkman so I don't know why I couldn't.