"Closed propriatary formats" is one of the best reasons to avoid anything with the word "Microsoft" written on it.
iPhoto imports mpeg movies, which are what all the digital cameras I know of do their video in. iPhoto will probably import anything that Quicktime can play--but Quicktime doesn't play wmv.
I haven't played around with wmv much, but you might be able to find an app that will convert it to avi. Depending on the codec Quicktime can play avi.
I might be able to ease your suffering a little bit though. iPhoto's importing of movies isn't that big a deal. It will take them off your camera, which it wouldn't do before, and it will put them in a library and make a thumbnail. When it comes to playing them, it just opens Quicktime. So it's just a more convenient way to do what you're already doing. It's nothing revolutionary.