The latest version of Windows Media Encoder (the program that will allow you to create a wmv video) is located at the link below. 9.0 is the latest version as of this posting date.
Windows Media Encoder 9 Series Homepage

The site above has lots of links to great information. For example, the link below describes the 3 basics steps of encoding. This is great info for beginners:
3 Basic Steps Involved with Encoding