Try this:
1)Add the .wmv file extensions in the admin panel under the section allowed media type.
2)create a new media template under >templates>default>media>
and call it wmv.html
3)In that template put your embed tag as such:
<embed id="VideoVIDEO" name="VideoVIDEO" pluginspage="
http://www.microsoft.com/windows/windowsmedia/en/Download/default.asp" src="{media_src}" width="360" height="270" type="application/x-mplayer2" EnableFullScreenControls="1" AUTOREWIND="0" SHOWSTATUSBAR="1" AnimationatStart="false" SHOWDISPLAY="0" AUTOSIZE="0" ENABLECONTEXTMENU="1" SHOWCONTROLS="0" PLAYCOUNT="0"> <br />
4)upload the media tou your server or call it from a fully qualified URL, both methods are allowed within the admin panel.
5) Test
Keep in mind that the directory path I gave you in step 2 is only if you are using the regular set of templates! if you use something else please adjust that path
Also I have NOT tried this myself, but by looking at how it is done for the other media types (movies in particular) it makes sense to do it like that.
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Please back up!!
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Good Luck
Sam