As Mushroom25 says, almost all media players should be able to handle the WMV format.
If you're looking for a superb media player which can handle almost every file format (except Real media, for legal reasons), without codec problems and totally free of charge, look no further than the wonderful VLC. Maybe you've never heard of it but it's frequently championed by the regular posters here in I&T and it was recently given glowing praise on BBC World Service's technology programme:
http://www.videolan.org/vlc/
Chris
(PS: If VLC won't open your WMV files, then the files must be corrupt)