This should be in a FAQ (and I think it is) but I'm too lazy to look for it.

the answer to your question, In short, is impossible. Modules, the general name for mod, XM, it etc, are much like MIDI's, in that the song runs along a script and plays individual soundwaves, called samples, to make the music you hear.

.wav, .ogg and MP3 have the entire soundwave recorded (That is why their filesize compared to modules are so large). So if you load a wave file, it is played, in my words, "Like a big sample".

It is possible to load a .wav file into modtracker and convert it to a module, but the file size will be so grotesque that JJ2 will not play it anyway (The aproximate maximum filesize jj2 (Without plus) can handle is 2mb, and even then you risk getting amnesia errors). the only way you can get it to play is to reduce the quality of the sample, but by the time jj2 can handle it, it will sound like a xylophone being played over a cheap telephone.

I suggest, other than upgrading to jj2+ and getting mp3 support for your music, is to browse the ModArchive and find somthing you like.

Huh? You now ask about going the other way? Now I'm confused...

anyway, I just use ModPlug to convert modules to .mp3's. The file menu has a "Save as MP3" that is rather obvious as to what its function is.