Speeder-
Leave it to the Microsoft programs to cause the only problems I ever have on my Macs. Wait until you try Office, Christ. The MS apps are terrible computer citizens, like drunken step-parents at your birthday party: lots of fun until they make fun of your friends, trashe your gifts, and ultimately pass out at the dinner table for you to clean up after. Bastards...
Anyway, am I hearing that you're having problems playing a WMV file in your web browser (i.e. the browser loads some kind of crazy plugin and the WMV player is part of the browser window and not a standalone app)? These kinds of windows show up on sites like ComedyCentrals DailyShow page.
I have seen this issue on my 10.2 (Jaguar) machines but not on my 10.3 Panther machines. A window will pop-up from the browser and complain that the plugin isn't found or some other nonsense. Honestly, I have yet to find a good fix other than upgrading
However, if you're running 10.2 or earlier I highly suggest you wait a month or 2 until 10.4 comes out, titled Tiger, as Im sure this has been addressed and repaired. If you're already running Panther then Im not sure what you can do.
If you're having trouble playing actual WMV files, it could just be that MS hasn't bothered to add and kind of versioning compatibility into the Mac player and you'll probably have to find something else to play them.
Bastards...