This sounds like an add-on problem with IE that is interfering with wmv links. The first thing I’d suggest you do is reset the IE defaults. Click on “Tools” and then Internet Options then click on the Advanced tab. Locate the Reset Internet Explorer Settings heading and then click the “Reset..” button. Navigate to a site with video links and try clicking one of the links. If it works correctly we are done.
If links still aren’t working we need to try IE without Add-ons. Click on Start, All Programs, Accessories, System Tools, and click Internet Explorer no Add-ons. Again, try a video link. If it loads correctly we will need to determine which add-on is causing the problem. Restart IE normally, then click “Tools” on the Menu Bar and select Manage Add-ons. Disable all of your add-ons and then re-enable them 1 at a time until you locate the add-on causing your problem.