There's nothing like going to watch a movie on your Mac only to find the movie's been encoded in Microsoft's proprietary WMV format. To view a movie in that format you can download a QuickTime plug-in that recognizes and translates the WMV codec. The advantage of this is it's simple. The disadvantage is you still have your movie in this clunky proprietary format and depend on a 3rd party solution to continue watching the movie.
Alternatively, you can use the free software HandBrake to convert your WMV file to the open MPEG-4 (MP4) standard using the industry standard H.264 codec which is natively recognized on the Mac in QuickTime. This leaves you free and clear to watch your movies without the need to install a plug-in.