associating files with programs

What on earth is that and how do I do it.
Whenever I get an email with a .wmv file attached I get the message saying that the file doesn't have a program associated with it. I have been to My Computer, clicked on file types but then I run out of steam, how do I do this? In plain english please....[8D]

Thanks Kate, have a CD with media player on it, but I left it at work, will install that first.

Fixed, the cd I got with my Finepix camera that doesn't work has Windows Media Player on it. That plays .wmv files.