What version of VLC are you using? According to
http://www.videolan.org/vlc/features.php?cat=video VLC should play back WMV3. However, I don't know if there are features such as DRM protection implemented in this which may require a Microsoft player.
Have you installed Flip4Mac media player? [Free Flip4mac QuickTime player components|http://www.microsoft.com/windows/windowsmedia/player/wmcomponents.ms px]
After installation a new Flip4Mac pane will appear in System Preferences. Make sure you set the boxes to ensure that it will play WMV files in Quicktime.
FFMPEGX may also provide conversion capabilities to another format.