From my understanding of the jmf it doesn't support wmv files.
I'm not uptodate on java programming but you might get around the problem by making a call to your desktop browser, the browser would then automatically run the wmv file.
Another way around is to convert the wmv file to another format: avi or mpeg or mov. There would probably be a loss in quality but if you're streaming over the internet it might not be noticed.
Hopes this helps.