wmv files are designed to play on WINDOWS (hence the w in WMV). Many if not most wmv files include windows-only DRM. Aside from the fact that ANY DRM sucks and is easily circumvented in any case, it makes it nearly impossible to play wmv files anywhere that is not windows.
Your best bet is to convert it to mp4 or 3gp formats. either of those should play in nearly every player.
Thanks Mupi - the conversion to mp4 works. I got an e-mail that had an attached .wmv file and it wouldn't open. I'll just view those attachments on the PC in the future - it's not worth the hassle of converting.