(I believe) you open notepad (or equivellent), type in something like this:
<ENTRY><REF href="http://www.mydomain.com/File1.wmv" /></ENTRY>
<ENTRY><REF href="http://www.mydomain.com/File2.wmv" /></ENTRY>
<ENTRY><REF href="http://www.mydomain.com/File3.wmv" /></ENTRY>
Then save it as myplaylist.wvx (or whatever filename you want w/ extension .wvx). Then in the object or embed tags under src="?" make the ? the entire URL of your .wvx file.
I've never made a wmv type playlist so this is a bit theorhetical. Hope it works!