WMA+G is a karaoke file similar to MP3+G just using a different audio codec.
Essentially, WMA+G is a combination of two files -- one is a regular WMA audio track, while the other one is a CDG file, typically ripped from a CD+G disc. The "+G" part provides the graphical content for the playback, which in most cases means the lyrics of the song.
Microsoft unofficially adopted the WMA+G format for their original Xbox karaoke product, released a few years ago.
Virtually all computer-based karaoke playback tools support WMA+G.