A friend of mine recently asked me how to convert an MPG file, to WMV, to play on his media player, asking me what software he should buy.
I encouraged him (in Windows XP), to pull up a 'Run' command (via WindowsKey-R) and enter 'moviemk.exe', and then click 'Ok'. Windows Movie Maker will then launch. Next, navigate to 'File|Import Into Collections' and navigate to the desired video. Once imported, select all the clips (via 'CTRL''A') drag them to the time line at the bottom of the screen. Add any titles or transitions (to the beginning frame or end frame), and then select 'Save Movie' from the file menu. Follow the prompts; I suggest showing the 'Advanced' export option and choosing the resolution and bit rate appropriate for one's WMV player.
For this and other tips, officially from Microsoft, see http://support.microsoft.com/kb/932614?sd=zune.