I want to watch streaming media in WMV format
WMV is not
a format; it is many formats and implementations. To use
VLC, you need one of the nightlies. The release version doesn't yet do it.
Flip4Mac should play all formats up to non-DRMed WMV9. Some implementations of streaming Windows media can be played only using
Windows Media Player 9. A lot of TV stations setup their streaming videos this way. Nothing on the Mac plays DRMed Windows media.
If you have a question about a particular site, you need to give us a link. Otherwise, we can only guess about the reason it does not work.