Windows proprietary. If you pay for a QT licence and have Flip4Mac there is a chance you can save the movie into a QT format. If the video seems jerky, then you will have to buy the Flip4Mac pro. From time to time they have a special deal where it's only 19 or so bucks. Flip4Mac licensed the rights to convert WM formats for the Mac.
I have a full licence for QT and Flip4Mac so I had never thought of doing it for free. You might try VLC,
Lets all thank MS for WM formats and the AVI standard- which isn't a standard.