Actually, iTunes will not change the format of your music.
You are thinking of the AAC format, which is mp4. By default iTunes will import your NEW music as aac, unless you change the format to whatever your preference is. Why does it do this? AAC (and the setting it's set at) is a higher quality than your default mp3 (128 kbps or 160 kbps usually).
I should also mention that any mp3s that are brought into iTunes will remain mp3's by default. You can, if you'd like, set up iTunes to automatically organize your music. If you do this, it will then copy any music you import in to the iTunes folder (of your choice) and convert them to whatever your preference was set to for the music format.
Windows Media Player does the exact same thing, except without the benefits. It converts (by default) any new music to .wma... which can ONLY be used with windows media player (unless you download some plugin or 3rd party app). It also doesn't make the quality of the music better than a 160 kbps mp3.