Putting it bluntly, you shouldn't be embedding WMVs in PDF files anymore - it's called "legacy media" and it's been discontinued for security reasons. You can't author it in Acrobat X, and playback is disabled in all current versions of Acrobat and Adobe Reader unless the user changes their security options. Authors should be using Rich Media annotations, which embed FLV or H.264 video and play cross-platform via an internal copy of Flash Player.
The weblink fired by Reader when it encounters legacy media for which the OS has no registered handler understands that you're on a Mac - and as there are no primary players for WMV files on OS X, that's what it tells you. Adobe does not link to third-party add-ons for other software, and even with those installed it will continue to complain unless the add-on has changed the file type associations, so that WMV files automatically open in Quicktime.
Thank you for your terse reply but, I am using LaTeX to create a (Power-Point type) presentation using the `beamer` class. I downloaded and installed `ffmpeg`, which is a cross-platform media conversion utility. I used it to convert the WMV file to an MP4 file (which is recognized by Adobe Flash Player). (As an aside, I initially did convert it to a F4V file which is more readily recognized by Adobe Flash Player, however, since LaTeX is not familiar with the file format, I chose to convert it to MP4 instead). Suffice it to say that while Adobe Acrobat Reader is no longer prompting me to search for a suitable plug-in, it does NOT play the embedded media file. Is there some security setting (which I am not aware of) that prevents this from occurring? I am pretty certain that there is nothing wrong with the LaTeX source that I wrote, as I copied and pasted it from a very well documented example.
As a sanity check, I posted a similar problem to the TeX - LaTeX forums, in case there was something wrong with the example that I had used. It turns out that there is nothing wrong with the example, however, when I went to compile the same LaTeX source file this morning, it all worked fine! Maybe a system reboot was required? Who knows? Either way, the problem has been solved. I appreciate your feedback.