audiofile lost information?

Hi there,
I am new to audacity. I wanted to use it to listen to mp3 recordings which contain batcalls. I imported the files and can listen to them but I noticed that they sound different to when I play them on Windows Media Player. I actually can’t here batcalls alltogether when there are calls to hear on the recording when playing it on Windows Media Player.
What is the reason for that? Do I have to adjust settings in the program? Do I need to convert mp3 into wave files? Which converter program is recommended?

Thanks for your help!