vlc - many-format media player   (link)

http://www.videolan.org/vlc/features.html
player for linux (among other things) that supports wmv, among other things

http://mirror.hamakor.org.il/archives/linux-il/03-2004/9246.html
http://mirror.hamakor.org.il/archives/linux-il/03-2004/9246.html
thread about wmv3