There’s a piece of software called STOIK that’s effective at converting from WMV to DiVX file types. The interface isn’t great however, and the conversion process can sometimes linger on (it’s free, so you can’t complain much). Conversion from WMV to AVI however, just means that you’ll need a DVD player like the DVP-5960 discussed above. The DiVX codec is much easier to work with for the DVD player, so the conversion from WMV to AVI rather than MPEG or anything else makes perfect sense. Still, you should be willing to invest at least $70 or so for that particular DVD player.
Regardless of which way you do it, the conversion is achieved (in some cases, it’ll be easier than others) and the DVD player will be able to play the file.