From what I remember, it's a .sitx. That means you need
StuffIt Expander . It's free. Then just double-click the WMP installer file.
Now, most apps on Macs don't require use of an installer. Generally only things like Photoshop etc. do. In most cases, you'll get a .dmg file. Just double-click this file, and it'll mount the disk image. Drag the app from the disk image to the "Applications" folder.