Q: I cannot open a .wmv  file on my MAC.  Help?

Download and install VLC media player:

EDIT:  http://www.videolan.org/vlc/

I think the link to MalwareBytes was a mistake but I second using VLC .

Check out Flip4MAC.

http://www.telestream.net/flip4mac/overview.htm

There are other possibilities than VLC, but unsupported. Flip4Mac runs perfectly well on 10.11.3 but it is not sure that it will run in the next OSX. VLC is the best mediaplayer and supported.

If you download VLC media player, be aware that other programs (like MacKeeper and Megabackup) may be installed on your computer even though you X out of them during the installation process.   Should that happen, I would delete those other programs immediately, MacKeeper in particular. 

Yes Barb, Rich839 remark is justified.

In general you should download software only from the developer's website, not from so called "aggregate" sites like CNT, Download.com, Softonic, Macupdate, and the likes: if you do that bad things may come with it. VLC from VideoLan site is safe, but

As a general advice: if you do not trust that the downloaded software is safe, go to the VirusTotal site and have the downloaded file scanned before you install it:

https://www.virustotal.com/