First off, welcome to the community!
Most Linux distributions don't handle Windows Media format files out of the box because it's a proprietary format, and you have to own a license for those codecs to be allowed to play them. If you run Windows it's not a problem because you paid for the operating system, and therefore the rights to view those files.
There are codecs out there to play WMV files. The easiest way would be to install VLC and use that to view them. There are also gstreamer-plugins-ugly and gstreamer-plugins-bad that support non-free codecs like WMV.
Here's some information I found on the Mageia website regarding multimedia patents.