If you have just created a DVD disc with a .wmv file on it your DVD player will likely not know what the hell it is.
I don't think I've ever come across a DVD player that plays WMV's anyway. You get ones that will play .avi as long as they are DivX or Xvid codec, but .WMV, never.
If you have a DVD player that plays .avi's then your easiest path is just to convert the file from .wmv to .avi, otherwise you will need a bit of software that will convert the .WMV file into the correct format and disc structure to actually be a real DVD.