well, not for the faint of heart, but you could compile the mplayer from source, including the latest libavcodec from the ffmpeg cvs server, and then commenting out the default audio codec for wma and enable the wma codec from libavcodec all in the codecs.conf file for mplayer.
in other words, i've done this and can play files with wma audio, but it takes more than a few steps to do it. if you'd like i can provide more details on what you's need to do, but at the very least you'll need to have the developer's tools installed to even try it.