Both mplayer and xine should play them. You can find them in the multimedia section in the menu (provided you chose to install mplayer as well, during VL's installation).
If when you double-click on a wmv file, none of these programs start, you can choose one of them (I go for xine, and only use mplayer if xine has problems with it) and make sure that the box that makes the program a default is checked. If none of the programs appears in the list, click on "custom command" and type "xine".
Does this answer your question?