Sounds like you're on Windows and have received a file created on a Mac with Mac only fonts.
Sorry, but you'll need to get Windows equivalents.
Is there a way to convert them or a different way for them to send the fonts to me?
I get this missing font message all the time when I open older InDesign files that I created on a Mac and have only ever been opened on a Mac. However, there is no apparent effect to the document, so I just ignore it.
99% chance they can't legally do that and a high chance something will get goofed up even if they did know how to make the conversion. You'll need to swap the fonts by number to the LTD-STD versions. In my experience they line up closely and there is relatively no consequence between swapping between the old PostScript to the new OpenType.
$30 a face