I seem to recall that these media types are a bit flakey and may not always work as you think.
One thing to check is to see if you added the WMV as a Baggage File.
Thanks, Rick. I added the wmv as a baggage file and got the same result. When I double-click the baggage file it runs fine. There must be an issue with the HTMLHelp comiler. Maybe another file format would work?