It didn't work.
In the Console I could see that the installer tries to LaunchCFMApp but fails. I looked into the folder but LaunchCFMApp was there. Starting LaunchCFMApp manually gives a bus error. Is my LaunchCFMApp binary corrupt or is it something else, you be the judge:
bash-2.05a$ otool -L /System/Library/Frameworks/Carbon.framework/Versions/A/Support/LaunchCFMApp
/System/Library/Frameworks/Carbon.framework/Versions/A/Carbon (compatibility version 2.0.0, current version 122.0.0)
/System/Library/Frameworks/QuickTime.framework/Versions/A/QuickTime (compatibility version 1.0.0, current version 172.0.0)
/usr/lib/libSystem.B.dylib (compatibility version 1.0.0, current version 63.0.0)
Coincidence ??? :) :) :)
In the end I found MPlayer which could play the WMV file. So my recommendation goes to MPlayer.
Windows Media Player running under Mac OS X, what a smart naming scheme ...