That would be because you haven't downloaded the Microsoft-supported tool to view WMV on Mac - Flip4Mac:
(There used to be a Windows Media Player for Mac, but someone did it better, so Microsoft bought them.)
http://www.microsoft.com/windows/windowsmedia/player/wmcomponents.mspx
Some of the Windows codecs (some AVI encoding) doesn't work out of the box, but there's a DIVX codec available from DIVX, and VLC helps play others:
http://www.divx.com/divx/mac/
http://www.videolan.org/vlc/download-macosx.html
Of course, I've had to download similar things for my work PC to get it to play videos, so that's nothing new.
just needed a little guidance