If someone hands you a video that's a .wmv but won't play no matter what you try it's likely a G2M3 format which is Go To Meeting's proprietary codec and Mac users are essentially out of luck.
If you need just the audio that's okay, VLC and flip4mac will play the audio but the video will not work. Go To Meeting has it's own page about Mac support here but it doesn't mention much about video formats and I'm not installing anything to find out. Perian won't help either.
From what a friend told me, he thinks that there is a way for Windows users to initially record video to a codec that's not G2M3 but I have no idea really.
Here is a helpful post but it doesn't specifically address playback or transcoding on a Mac.
Basically, you'll need Windows, Windows Media Encoder and possibly a little thing called TMPGEnc.