WMV(Windows Media Video) format is Microsoft's proprietary video file format, Apple's Mac OS X system and QuickTime player don't support this format. The built in WMP(Windows Media Player) of Microsoft Windows support this format. Just double click any WMV file and WMP will start playing the video.
If you are not familar with QuickTime, you can download this free player-Faasoft Video Converter to have a try.
It also supports converting WMV to iTunes compatible formats -MP4.