It seems odd a wmv file wouldn't play in Windows Media Player. Perhaps the file isn't what it appears to be. Try downloading GSpot (click to download it). Once downloaded, unzip it and open "Gspot.exe". Once open, click the blue button that has a "..." on it to browse for the problem clip. Select it, click "Open", and let GSpot do its thing. What it says under "Container", "Codec" (In "Video"), and "Name" (In "Video") are important.
Alternatively, you might need to upgrade your version of Windows Media Player. Do you happen to know which version of WMP you have installed? Help > About Windows Media Player should tell you the version.