We recommend using Flip4Mac's WMV Player.

The WMV Player is an industry first product offering that allows you to play Windows Media directly in your QuickTime Player. This eliminates the need for an additional player and provides the great playback experience and control that you've come to rely on with QuickTime Player.

With the WMV Player component, you don't have to pass by Windows Media files when surfing the web, even if they are encoded in high definition. With the WMV Player, your playback experience improves and your viewing options increase.

Another program we recommend, that is free, is VLC Media Player.