I presume that's the mac version you're refering to. I read a no. of reviews that the OSX version of WMP is very 'buggy' (compared to the OS9 v. - which is still not very good.) And Microsoft haven't updated it for a couple of years as they're not keen to update any of their products for the mac (Office being an exception, but that's written by a mac soft. development section). Personally I've never had much luck using it! One of the others on this forum may recognise your problem & give you a suitable answer.

I prefer to use VLC to open wmv files, which can be found at
http://www.videolan.org/
VLC can also play numerous other formats incl. VCD & DVD. Doesn't have the best controls however.