You're refering to both WMA & WMV files. Yep, M$'s licencing thing is a little abused. You can end up at a dialler site, etc. See What you should know about WMA Files

As a recommendation, try to aim for avi & mpeg if possible for movies. And for audio, well mp3's, ogg vorbis & m4a/mp4 files or better.

VLC will play all except the odd wmv file. It also plays some audio formats. Get it here: http://www.videolan.org/vlc/ (choose nearest mirror site) Keep it as a backup player anyway.

If you want xtra codecs then try one of these: http://www.land.ee/d_nimo_codec.html OR http://www.free-codecs.com/