How do I embed a .wmv video file?

I have 2 .wmv files I'd like to embed in a captivate screen.  It appears CP5.5 does not support this format.  I have tried making a link to the file, which will launch Win Media player and play the video.  This works however it takes the user away from the CP content and also assumes they have Media player installed and ready to go.

The trouble is that I want our employees to view the video and then go the next slide which has a completion cert.  Watching the video should be required before they can proceed to the slide whith the completion cert.

Any help?  thanks!