I'd agree with SPeedY. VLC should be able to play most video formats, but I usually tend to use it only if there's something WMP10 can't already play. Don't get me wrong - VLC is one of the coolest apps I have seen, but it just doesn't feel as solid or as polished as WMP10.
What sorts of problems are you having with WMP specifically? Have you updated to WMP10? It's far better than WMP9 was, and has a much cleaner UI as well. If you're having stability problems, you might want to reinstall it once. If there are glitches during playback, it might be a problem with the codecs. Try reinstalling those, or check the configuration panels for them, if any.
:suprised:Wow, I'm pretty suprised that no one mentioned Zoom Player from Immatrix Or the QCD player. Both f these will play WMV as well as nearly every other codec under the sun(or stars, if you're like most of us ), are skinnable and barely touch sys resources! check out Zoom here and QCD here. They are some of what I use, since I generally avoid WMP as well.
MPC gets my vote on the whole though I like zoom for video playback on secondary screen while working on the primary I cant remember how I did it but I managed to get it to not minimize from fullscreen when I removed focus from its window