Playing and building proxies from files such as WMV depends on having suitable codecs and converters available.
On the Mac you can do this by installing Telestream’s Flip4Mac codecs.
On Windows you can use the DirectShow exporter rather than QuickTime, though there is less choice available for proxy formats to transcode to.
As alternative is to use an external transcoding tool such as Episode Engine, Rhozet or similar.
Premium CatDV resellers are trained in designing workflows using CatDV for particular installations and can advise further about the right tools for a particular requirement.