Sorry, I assumed you were talking about WMP for Windows. Flip4Mac Studio (US$49) claims to e able to export to WMV9. However, Windows Media Player for Mac isn't supported by Microsoft anymore. They've replaced it with the free component of Flip4Mac. Can I ask why you want movies to be playing in this old app?
I am not so sure for I have only heard roomers that Quicktime PRO has the ability the convert files but this requires you to buy it.
It would probably be better when you would search a frace such as "convert to .wma" within http://www.softpedia.com/mac . Who knows maybe there is a free third party program out there.