I can't be sure, but from what you say it seems there is one of two things happening:
1. Some of your WMV files have DRM (copy protection) which is not supported by the Mac version of Windows Media Player. Not much you can do about that, unfortunately, at least not that I know of. Admittedly I've never tried, so maybe there is.
2. You say they have a powerpoint icon -- have you tried opening them in powerpoint?
When you say it wont play, what actually happens? do you get an error (if so, what does it say?)