Okay. This is what I found worked for me and it was extremely easy. Go to http://www.hymn-project.org/ where you will find a free download for software that converts files. No need to burn to CD first. Thanks again to everyone for your suggestions.
Thank you all so much for your replies!! I have not had the opportunity to need to convert MP4 files since I posted my question several weeks ago. It was nice to come back to the forum and find there were some solutions!!
I subscribe to iTunes and download music for my slideshows. Recently, the files I have downloaded are in mp4 format not mp3 which P2exe recognizes. Is there a way to convert mp4 music files to mp3 so I can use them in my slideshow? Thank you.