You can only view .ahf files in the AH film viewer, I guess you have that figured out.
The only way to make it play in WMP is through capturing film from within the AH film viewer using a program such as FRAPS for example. That is one way to make films, capturing with FRAPS from raw .ahf files in the film viewer then edit the film(s) in a film editing program. There are many different editors on the market, I use Sony Vegas Movie Studio. Windows Movie Maker is another such program which is free and easy to use.
It can take anywhere from 15 minutes to many many hours to make a film, depending on what software and effects you use. Final render of a 10-minute film takes me about 40 minutes or so and that's when all editing is finished and you decide you're finally done with it. The editing part can take just as long as you can stand working with it.
I hope that gave you some idea of how it works.
