Unless it's copy protected, it should play no problem. I was playing a wmv-hd disc I got for xmas the other day (HDNet coverage of the Space Shuttle). It worked great. However, I couldn't play the "Magic of Flight" WMV-HD because the Xbox couldn't get the license. I'm going to try streaming it via MCE at some point.
The 360 has been online and received all the required updates?
And when you go to the Multimedia blade and choose video--current disk, it shows an actual listing of the WMV files?
That's how its supposed to work...
Hmm, did you finalize the data disk?
(I've had that trip me up once or thrice...)