This is a strange one, We installed PE4 and have had no issues. Just last week when I render a video as a window media file, there is no outward indication of an issue. When I try to play the file it will not play on Window Media Player. And I have tried to insert the file into Powerpoint and it also fails. I can render the file as a quicktime file with no issue, but this will not insert into a powerpoint presentation. I tried to "repair" the installation and uninstall and reinstall to no avail. Window Media Player files just quit running. When I run old files that were rendered with the program no problem. Is there an issue with a Media Player Upgrade?
What settings did you choose for the WMV? That could have a lot to do with it not playing. Have you tried to play it in programs like VLC Player? Have you run it though G-Spot (www.headbands.com/gspot) to see what it reports? Often, it will pick up errors in files. While it does a better analysis of MPEG and AVI files, most WMV's will also yield a report.