WMP formats (.wmv and others) need to be converted prior to import in the modern versions (after 6) of iMovie.
You can open and view the file via QuickTime Player after you install the free version of Flip4Mac. The upraded versions allow conversion to QuickTime formats that will import into iMovie. They cost some money, however.
Check out smart converter and smart converter pro in the app store. They will convert wmv files. Also check out Mediaconverter.
Lots of free and low cost options.
Here is a series of iMovie supported video formats:
DV (mp4, mov, m4v etc)
HDV 1080i (25 and 30 fps)
HDV 720p (25 and 30 fps)
MPEG 4 Simple Profile (.mp4 format)
As iMovie doesn't support .wmv video formats, the only solution is to convert wmv to iMovie with a third party software.
There's no need to purchase a product, you can use Handbrake which is free and works in both Windows and Mac OS. You can find it here:
I actually use it all the time on my Win7 computer to convert DVDs to .m4v for use w/ my AppleTV 2 device and after stumbling upon this thread I converted a .wmv to .m4v and .mp4 formats, imported it into iMovie for editing w/o any problems.
Hope that helps anyone who has this question.