Download and install this codec pack. It has a good player (media player classic) as part of the pack as well.

Make sure you have no other codec packs installed, because that can cause problems. There is an insurgent on same download page to check for other packs.

.wma files can be played natively in e.g. Windows Media Player and most other players should play them no problem. If you have trouble playing them they are most likely corrupt in some way.