I've heard of (and even sometimes used) video players like VLC when Windows Media Player prompts me to download "new codecs", but I've also heard people talk about codec packs like K-Lite, Shark007, ...
Beyond WMV, there are a variety of open-source codecs that you may need at some point. While for many you can install the individual codec when needed, I've found the easiest way to ensure you can ...