I just got some videos copied for me and I can't get .wmv files to open or convert to MP format. On a mac the wmv files look like little grey boxes with a green logo on the top left that reads "exec"

I've waited forever to get these movies and it sucks that I'm not getting anywhere. How can I get my computer to read these files? I don't understand how a computer can't just play the videos or why my video converting software won't accept the data.

PLEASE HELP!!!!
i know that wmv means windows media video and i know that it's not supported by mac, but what can i use to change the file into something that mac can read?