That's not true. Wmv files CAN play in IE with the windows media player object.

Example:

height="360" codebase="http://www.microsoft.com/Windows/MediaPlayer/">

type="application/x-mplayer2" autostart="1" enabled="1" showstatusbar="1"

showdisplay="1" showcontrols="1"

pluginspage="http://www.microsoft.com/Windows/MediaPlayer/"

CODEBASE="http://activex.microsoft.com/activex/controls/mplayer/en/nsmp2inf.cab#Version=6,0,0,0" width="480" height="360">

You might need to install the Windows Media Player plug-in for your browser (if it is still available for your browser)