What version of Premiere Elements are you using and on what computer operating system is it running?
Could you please indicate the origin of what you are describing as Windows .wmd?
Could you be involved with the following Windows Media Download Packages?
If you are involved with Windows Media Download Packages, I suspect that you will need
to extract the components and then try to import in Premiere Elements only those whose formats are supported
by your version of Premiere Elements.
We will be watching for your reply.