is no longer supplied by Microsoft although you can find it around.
A visit to the MS site, searching for it, will take you to a page where MS tells you that you should be downloading a piece of software called Flip4Mac. They also have a link for that program on that page.
You may have downloaded WMP for Mac for OS 9 which, if you are running OS X, will as you to supply an application to open it.
If the file you downloaded was the right one, it may be compressed in some way.
Stuffit Expander, free from Allume, is the program you need to decompress the files. It can be found http:/www.stuffit.com/detect_expander.html
Download and install it and you should not have any further problems.
Flip4Mac adds a codec or two to QuickTime so that you can view WMV files using QuickTime.
If you get stuck, holler back
P