Is there any way I can improve .wmv playback?

This could simply be because your computer is old (and thus not fast enough to keep up with the decompression), though it would have to be quite old. I recommend giving VideoLAN (www.videolan.org) a try. It's a free, fast, cross-platform, open source video player.

My guess is that will work, but If movies don't work with videoLAN, especially when you have nothing else running, then it might be time to take a look at your computer itself.