Palm Addicts has a nice tip from "Kenny" for watching .wmv movies on PalmOS devices without any additional conversion software other than what you use with your Palm desktop.
More accurately, it's a slick trick for converting the file to .avi. "On your desktop, drag your .wmv file onto Quick Install - it will run an in-built converter and swap the file to .avi, which TCPMP or MMPlayer can handle."
One caveat is that it's probably more appropriate for short files because of the time it takes to hotsync a large file. Or you could probably speed it up by using the trick to convert, and then moving the file to an sd card before you hotsync.
It's not clear if it would work for non-Windows users either.
Some have claimed to have success natively watching some .wmv files with TCPMP and the right codecs, but I haven't had much luck. It probably depends on the way the .wmv file is coded.