WMV (Windows Media Video) files use proprietary Microsoft codes, which do not work with the Apple operating system.  

But do not despair! There are free alternative media players that play WMV files that you can download on your Mac.

The most popular one is VLC Media Player: "VLC is a free and open source cross-platform multimedia player and framework that plays most multimedia files as well as DVDs, Audio CDs, VCDs, and various streaming protocols."

For additional options, see the Top 5 Free WMV Players for Mac Options or How to Watch WMV Files on Mac.