windows media files are notorious for being trouble.
In general I filter these out as they are often more trouble than they are worth.

I would have thought that WMV would play in Win MP.
although being windows it can be either protected content or licensed - you would know if it was the latter as windows would ask you if you wanted to download it.

I take it that this is happening with all your WMV's? so this rules out the odd corupt dld!

Protected content... I'm not to sure about that one. You could try looking for the files listing in the library. it has got a Protected tab and this may tell you.

Beyond this, try other players like real player or quick time, both are free and readily available on the net.

if your using win MP make sure you have your version and codecs upto date - you can do this from MP, look in the help menu and select "update player." and follow the prompts.
or pop into the windows page and find the media player pages.

Hope this is some use to you.
Good luck!