Hi there and welcome to Linux.
1 - A wmv-plugin? You mean a media player plugin to watch videos (including wmv) from Firefox. Your best bet is mplayerplug-in which uses Mplayer to do the job.
2 - Off the browser I use xine-ui (which obviously uses the xine engine) and let me tell you it totally rocks. As long as you have win32 codecs installed on your system.
3- Same as above, theres a whole package of win32 codecs but theres also a divx4linux codec goin around. Just make sure its installed.
4 - Just to play'em? I suppose XMMS will do. But if you want more (power and stuff) then you have got to get amarok.
5 - If you dont know if you need it, then you dont need it.
Edit: I forgot to mention that sometimes there are distro related issues regarding video and mp3. I dont know if this iWHAX thingie you are using is one of those pesky distros where playing mp3s needs more magic tricks than it should. Im a happy Gentoo user and never had to deal with such stuff. But back at my Fedora beginnings I noticed such problems.
Good luck!