Just hit google and mix up the keywords. wmv+embed+wordpress+plugin
I have seen a plugin for it before, but I would think you can do it other ways.
Just jumping around google I found that using object tags may help.
http://www.w3schools.com/tags/tag_object.asp
A possible plugin:
http://helmetcameracentral.com/2006/...bloggerplugin/
Something unique, but not really what you need.
http://wordpress.com/blog/2006/01/26/youtube-support/