I can't comment on the safety of old software (there's probably no problem with it) but I don't recommend you use WMP on Mac OS X. It's old, it's PowerPC only (thus slow and resource-hogging) and Microsoft doesn't recommend it anymore.
The officially supported alternative is Flip4Mac. It's a QuickTime plugin that works in both QuickTime 7 and QuickTime X. If you don't like QuickTime then look into VLC, MPlayer or Movist.