Have you tried double-clicking on one of them? Are they password protected?
Here is some software that you need in situations like this:
How to Play WMV on Mac OS X(Snow Leopard included)?
Here is something to consider regarding .zip files:
Open ZIP files on your Mac
1. Double-click the zip file to unzip. Depending on your settings, downloaded files may automatically extract to a new folder. The original zip archive will be saved; check for a folder with the same name as your zip file.
2. Check the extracted folder to make sure the contents are not zipped. Sometimes documents and subfolders will be compressed, and these need to be unzipped.
Zipeg
I just downloaded and tested Zipeg and it's pretty good. You can preview what's inside a range of container files and extract one single file or the lot ... it might be good for your .zip file. Just launch Zipeg and click "Open" which is in the upper left of the window ... navigate to the wmv.zip file, select it then click the open button. The wmv.zip file should now appear in the Zipeg window and you can browse the zips contents and when you want to take your files just select them and click on the "Extract" button ... but before this make sure you know where the destination of the file is otherwise you will have to search your HD. I usually select my Desktop.
Another member here has a similar app called FileJuicer which does pretty much the same thing ... I'm not sure if it's shareware or what ...
Anyhow let me know if this works for you