Has anybody else experienced issues with this?
Add a a wmv file as an attachment and use the multimedia macro to display it on the wiki page.
IE 9 shows the windows media player control and plays the video
Chrome - shows the windows media player control, says connecting to media then just goes back to ready 
Firefox - does the same as Chrome
Tried on on Confluence 3.5.7 and 4.0m-27 and from different machines and different wmv files.
Get same result if add a link to the file which tries to open in full window. Is this a confluence, WMV, or browser problem?