okidoke, http://www.videolan.org/vlc/ or more directly for OSX: http://www.videolan.org/vlc/download-macosx.html & just select any mirror site. France should be fine!
As for burning to dvd/cd (you'll need a dvd burner to burn dvd's), well for wmv I'm really not sure. Problem with wmv is that they can be coprighted (have licencing) that prevents them from being utilised. Secondly, I'm not aware of any app that can convert them. You can visit http://www.videohelp.com/ or/&
http://forum.dvd-guides.com/ to ee if you can find an app or advice upon this.

For OSX, Toast can convert & burn mpg/mpeg & avi files. So you should be aiming to dwnld these ones. If they're full movies they should be 500-700 MB in size. Toast handles video quite well (particularly version 6.)