Help using VLC to view downloaded clips of different formats

[rhythm]

I'm on Mac OSX, and recently I've had success using VLC to access and view 25-30MB movies downloaded from an Internet entertainment site. The files from this site were in .avi format, with, I think, Divx code. When they first finished downloading, Apple QuickTime would open and try to read them, unsuccessfully, so I got VLC and it worked.
Now the site has changed it's videos to .wmv format, and when I try to use VLC to open them, I get an error message saying "access_file: seeking too far". Can VLC open wmv videos files, and if so, how do I configure that and get past the error?
Also, in an effort to try to open them, I downloaded the Mac version of Windows Media Player, but I must not know how to configure that properly either, 'cause it won't open these files...I get an error-invalid format message when I try.
Naturally I'm loooking for one universal player that will just open all these, and I thought VLC would be it, so maybe I'm just missing something about it's configuration for different formats. Please help, thank you