Windows Media Player Files (.wmv) requires that your Windows system has all the libraries needed registered in the Windows registry. One of the most common reasons for Internet Explorer failing to load .wmv files is the wmp.dll is not registered. To correct this do the following on your PC:
Run a command prompt as administrator ( Enter cmd to the Run command prompt )
Enter: cd \windows\system32
Enter: regsvr32 wmp.dll
You should get a window showing successful registration.
Now try your .wmv file link again.