I have installed windows media player on mac but doesn't work on Internet links?

First restart the computer so any new things you installed can run .You might also need to download Flip4mac wmv. What does the the message say exactly? You can choose which application to use for different files. When you click once on the file then click on file/get info you will see an Open with box. There you define which application will be used to open this type of file.