Select the files you want to convert in the playlist (use CTRL or SHIFT key to select multiple files).
Right-click the selection and choose “Convert” from the context menu.
This will bring up the Converter's window, where you can review your choice again by checking/unchecking the tracks. Here you can also edit title/artist fields by double-clicking on them.
The filenames of converted files will match the “Artis - Title.Extension” pattern, so be careful while renaming tracks in the Converter.
Tracks with inappropriate names are highlighted in pink and won't be converted.
Before proceeding with converting, you may want to check the Converter's options. To do this, press the “Options” button.
Once you are done configuring Converter's options, hit the “Convert” button to start converting. You can cancel the process at any time by pressing the “Cancel” button.
After all files have been converted, they can be found in the output directory, you specified in the Converter's options (see step #6). In our case, it's only three files, as two files with invalid names haven't been converted and one file was unchecked.

Congratulations, you are done!
Notes:
You can only convert local audio files, i.e. you cannot convert a radio stream or remote file. Well, not directly.
In Spider Player PRO you can save radio streams in their original format or record them to MP3. And when you are done recording, you can convert the output file(s) to any desired format.
Also, if you have a remote file you want to convert, copy it or download it to your PC first. Now it's a local file, and will convert with no problems.