Hmmm, the Satay method seems to be used for flash, whereas the user is requesting assistance with embedding a WMV file.
As for support:
<embed /> Web Browser Support:
WebTV / MSNTV
<object> Web Browser Support:
XHTML 1.0: XHTML Client-Side Image Map Module, XHTML Object Module
Looks like pretty good support across the board.
The following should work, seems easy enough as well:
<object id='player' classid='CLSID:6BF52A52-394A-11D3-B153-00C04F79FAA6' type='application/x-oleobject'>
<param name='FileName' value='URL TO WMV FILE' />
<param name="autoStart" value="False">