The WMA and WMV format is exclusively used by Windows Media Player and operating system. The QuickTime won't play the files because you lack codecs for this job. In this case, you have two possibilities:
Inform the sender to convert the file to MP4 format, that's supported by QuickTime
Install VLC for Mac, save the WMV file to your desktop and then play it with this video player.
Microsoft recommends buying a video player, but as long as VLC is free and does the job normally, there is no point in doing that.