Many others might be having this problems. This solution might help others fix "playing .wmv in IE problem".

Symptoms:
You have a link to a .wmv file (a video file), you click it and nothing happens.

What did not work (but this could also be the problem):
Make sure Apache has the appropriate mime for .wmv files (already did for me). This is not likely if you are on a shared hosting plan.

Solution (that worked for me) maybe not all steps required:
1) "Control Panel"->"Default Programs" make sure you re-select Media Player has the default program for .wmv files. Still did not work...(could be because I did not reload the page in IE7)

2) Open the same page in FireFox and click the link to the .wmv file. FireFox asked me which program to use, I selected c:\program files\windows mdeia player\wmplayer.exe
-The file played well in FireFox.

3) I now reloaded the page in IE and click the .wmv link and it played the file in Media Player.

Hope this solution helps.