Cinema Now uses DRM to accomplish this. Their software is Patchbay, it is nothing more than a Microsoft DRM Solution; they are locked into IBill.
As far as trying to accomplish a self destructing WMV file, you can expire the license or tell the file to delete itself after whatever period of time or plays you want.
Simple and easy once again. I see alot of people fighting against DRM but the reality is this, it will do what YOU want.
;-)