I have no idea how well it works, given that it receives pretty mixed reviews as a whole. But then again, there doesn't seem to be many software options for wmv.
The readme file with the app does claim it will convert wmv.
Do you need to convert it, or simply watch it? VLC will play pretty much any video file format, and it's free. Of course if you are simply wanting to convert it, I too would suggest checking out VersionTracker - it's my one-stop locale for all Mac software.