My guess is that .wmv files have a different default player which uses a different default video output driver than another one.
For example, suppose that a mpg files is played by xine, but a wmv file is played with mplayer. Mplayer can use different video output drivers (e.g. xv, gl, gl2, x11, ...).
Maybe the video output driver used doesn't work on your display. Changing the default for that player may also resolve the situation.
Some things may work on one but not the other. Full screen resizing will function in xv but in gl2, the video will be centered with a black background.