Thanks for putting up the link, Ehych. As you will see, there is no Media Player for OS X per se; what you use is a product from Flip4Mac that installs a QuickTime plugin that can handle most kinds of WMV content in the QuickTime player. Encrypted or protected content
may not play, but it is a case-by-case basis.
As to getting the files themselves over to the Mac, besides sending them as an email attachment or via an Instant Messaging client, you can also use a USB memory dongle or even an external USB drive. By defalt, MacOS X can read and write Windows drives in FAT32 format and can only read drives in NTFS format if they are not password-protected. Installing MacFUSE allows MacOS to read and write to NTFS drives, but again, if not password-protected. It appears that the older FAT16 format is no longer supported.