Find a document file of the type (any file). Select it, and choose File -> Get Info apple:I). At the bottom, where it says Open With, select the program you want, and then hit the Change All button.
You'll have to do it once for each document type.
The root cause for this issue, as far as I can tell, is that NeoOffice does not make an attempt to redefine the default program for these document types for you itself.
You can play *.wmv in Quicktime with Flip4Mac. I've never tried it, but since iTunes uses quicktime to play video files, it might work to play *wmv once Flip4Mac is installed...
^^ I don't think iTunes is able / willing to use QT plugins. I think you're limited to converting them. On OS X, there are some programs like EasyWMA that do converting (QT Pro also, I think, with Flip4Mac), and then in Windows iTunes can do the converting.