WMA is an audio format. WMV is a video container format. WMV is the same format as ASF. ASF can store video in a number of codecs, such as MS-MPEG4v1, MS-MPEG4v2, MS-MPEG4v3, WMV1, WMV2 and WMV3 (Windows Media 7, 8 and 9, respectively). If your files are the MS-MPEG variety, you can transfer them to avi with VirtualDub 1.3c (later versions had the ASF-reading code removed at MicroSoft's request). Otherwise, you will have to re-encode the files with the likes of EO-Video. On the mac, ffmpeg can decode WMV1 and some of WMV2, but the quality of decoding is poor.
avi support is adequate on the mac, if you use mp3 audio and install the divx.com QuickTime component. Other audio codecs either make large files, won't work in QuickTime, or won't work at all. VideoLan Client plays most common formats that QuickTime doesn't (including ASF, the MS-MPEGs, WMV1 and half of WMV2), but strange audio formats are not it's fort�
if you really meant wma and not wmv, you can use Audion, ffmpeg or MEncoder (on the mac or probably several things on Windows) to convert to mp3 or wav