Answer.

The .wma file name extension is used for Windows Media Audio (WMA) files that contain audio compressed with one of the Windows Media Audio codecs.

The .wmv file name extension is used for Windows Media Video (WMV) files that contain both audio and video compressed with the Windows Media Audio and Video codecs.

The .asf file name extension is used for content that includes audio only or both audio and video. The content in an .asf file could be encoded by a variety of different codecs, including Windows Media Audio and Video codecs. For more information about the Windows Media and Advanced Streaming Format (ASF) file formats, see Windows Media Format. For more information about codecs, see the Using codecs FAQ.

This answer applies to Windows Media Player 10 & 11 and may also apply to previous versions of Windows Media Player.

Source: Microsoft.com