If you need a file previously encoded as a WMV file, you can convert it to MPEG using "Cleaner 5". Thre are others out there that may possibly work as well (TMPEG? Don't know...) but I have seen some FREEWARE multimedia video utilities claiming to be able to convert WMV files to another format. If you want to keep the quality as best you can, however, I would suggest uncompressed .avi so you're not re-compressing an already mpeg-compressed file :)
Hope this helps... I had a segment in WMV I needed to import into VF2 and this is how I did it.