one of two things...first, do you have flip4mac installed and if so, i'm assuming you're using QT to watch wmv files. flip4mac and VLC cannot translate WMV9 files, so you're out of luck. other wmv files should be okay.
if not the above, you might be trying to watch an AVI file for which you do not have the proper plug-in. can you give us more info on the file you're trying to watch?