I'm sorry, I don't think you should be able to return it. It is standard procedure to not accept returns on opened items like movies and cds UNLESS it is defective in some way--even then they will exchange for same item.
I am not a fan of Wal-Mart, but I do work for a huge retailer and customers returns cost big bucks (and drive up prices for everyone). It isn't like you're dealing with some mom and pop that knows your name...Wal-Mart knows you aren't likely to stop coming over a matter like this and that is considered when a return policy is developed. Honestly, it sounds like they were really nice in telling you no...which is more than you get from many places these days.
You have to chalk it up as a learning experience...and maybe it is time to consider one of the new players that play both formats. I lost receipt for a $200 car seat that didn't fit well in my car...it is sitting in the corner gathering dust until I can find a home for it.