Are you using Windows Media Player? That sounds a little odd, since .wma files are Windows Media Audio files...you shouldn't have any problem playing those.
What does the codec pack from Windows include? We're looking especially for the DivX codec for .avi movies.
If you want to try a different video player, you can try VLC, available through this link (codecs available there, too).
Codecs, Alternative Players, & Video Help
Good Luck
P.S. It is recommended that you not download .wma files
What you should know about wma files