Two solutions for you:
1. Try this step by step guide: http://www.faasoft.com/articles/xm-to-mp3.html
From this guide, I learn that:
XM, standing for "extended module", is one of module music file formats. Other module music formats include IT, MOD, S3M, MTM, UMX, MO3, .etc. Module music formats are similar to MIDI format, they contain data about how to play a music, like what instrument to use, what notes to play, and what speed to play. Doesn't like ordinary audio file, music file can only contain music played by instruments. Ordinary audio file like MP3 and WAV, can contain any sound like human voice. The difference betwen module file and MIDI file is MIDI only contains notes, while module file contains wave form of each note also. You can find many module files here: http://www.modarchive.org/.
XM is introduced by Triton's FastTracker 2. XM introduced multisampling-capable instruments with volume and panning envelopes, and basic pattern compression. It also expanded the available effect commands and channels, added 16-bit sample support, and offered an alternative frequency table for portamentos. XM is a common format for many chiptunes.
2. Foobar ( http://www.foobar2000.org/ ) can do this job for you.
The drawbacks of Foobar are mainly reflected in three aspects: doesn't have Mac version, need to install Converter component to convert audio files and no built-in help service.