Burn them to what? To a CD or DVD as a data disc; to a disc that can be played on a standalone player (requiring authoring in VCD or DVD format)?
Are you sure the files are in WMV? I'm assuming that they play in wmp even if that program won't burn those files.
"it won't let me burn them"
That detail doesn't help much. Like virtually every technical question posted under this subject, you choose to simply say that "it won't work" or "it won't let me" without specifying HOW you are trying to do something, and WHAT specifically happens.
