If you have installed The Restricted Extras package
sudo apt-get install ubuntu-restricted-extras and you have tried to play the WMV video with VLC with no luck (I am assuming you did both of this already) then you have a problem with the file itself. You can do the following to check if the file is actually BAD and try to recover the parts that are OK:
On the same folder where the file execute the following in the terminal:
ffmpeg -i YourVideoFile.wmv -vcodec copy -acodec copy NewVideoFile.wmv
or the new version:
avconv -i YourVideoFile.wmv -vcodec copy -acodec copy NewVideoFile.wmv
If it starts throwing errors you know it was corrupt. The new file created will be better and you can play it but the corrupt or missing parts will be gone.
Normally if VLC can't read the file is because of 2 things:
Streaming format - Which means you need to be connected to the internet or the progression of the video got lost in several parts somehow.
Corrupt file - Which VLC would offer a way to fix it temporarily so you can view it.
If you already have the Restricted Packages which give you many compatible formats to encode/decode and also VLC which uses it's own native codecs and has the best way to solve video problems then most probably the problem is the WMV file. You can test another WMV to make sure.