VLC was able to download that wmv file.

Media -> Convert/Save
Network tab, enter mms:url, press Convert/Save
Enter file name for local file
Press the little tool button next toe the Settings/Profile.
Select ASF/WMV as the Encapsulation
Go to the Video Codec tab and select Keep Original Video Track
Go to the Audio Codec tab and select Keep Oringal Audio Track
Press Save
Press Start

Man izdodās - sistēma strādā.

Paldies. Šķiet, izdevās.