If you already installed mplayer with synaptic there's no need to go and reinstall from source.
Just go to the mplayer website, grab the latest win32 codec pack and unpack them in your /usr/lib/win32 folder.
Also you might try to play .wmv files with Xine, mplayer doesn't play all the .wmv files where I still have to find one that Xine doesn't play.
Same goes for quicktime files btw.
Edit: If it still doesn't work you might want to give this site
a look and install the Xine libraries.
In fact I can't remember anymore what fixed the .wmv files not playing but the more I think of it the more I think that these rpm's did the trick.
Anyway, with these files you can't miss, wmv files will play!