You have to use the film viewer to do that and possibly another program. You can either use a program to 'record what you're viewing' in the Film Viewer (e.g. Fraps), or you use the Stream/Save as AVI button in the film viewer (last time I used this it was buggy).
Both these methods would yield you a '.avi' file. You would need something like Windows Movie Maker to convert that avi file to wmv.
Movie making is a larger step than just watching film.