wmp for mac is rather hopeless. I'd recommend another like
VLC - (click on link) _ (choose nearest mirror site)
How to change default program in OSX (click on blue link)
* Oops I just realised you are using OS 9. Instead of the above, go to control panels -> File Exchange & select wmv and choose wmp to play them. The example below shows mp3. You may need to add .wmv as a file extension.
