Since you dont say otherwise I recon you can play it in VideoLAN Client (VLC).
So here are the steps to convert it:
1. Start VLC
2. Click "File > Open File..."
3. Browse and select the .wmv file
4. Check "Advanced output:" and click "Settings"
5. Select the output file and specify the Transcode options (codec, bitrate and audio channels)
6. Click OK twice and Wait...

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