As mentioned the wmv is not recommended. For whatever reasons, I have noticed many Joomla! video plugins do not offer local file playback, which is odd.
If you are looking for a decent playback solution, which can play single videos and/or create video galleries with multiple playback solutions and for the most part only requires a simple syntax (shortcode) then take a look at
Yendif Player: http://extensions.joomla.org/extension/yendif-video-share
All Video Share: http://extensions.joomla.org/extension/allvideoshare
Both have 5 star reviews on Joomla! Extensions Directory website and I believe made by the same people or friends. Both are free but also offer paid versions.
Again, both offer many options such as categories, meta info, SEF Urls, fixed dimensions, images, captions, related videos and a multitude of customizable property settings which also includes css styling.
They both use a default flash player, that can play HD videos and both come with an HTML5 video player fallback.
Either one will work for your needs and the good thing of both is, you can use it as a simple video player plugin or an extensive video collection nicely presented.