WMV is a compressed video compression format introduced by Microsoft. Many WMV decoding tools does not support iPhone 4. If you want to put WMV movies, either from Windows or other sources to iPhone 4, you need to convert these WMV files to iPhone 4 friendly format first.
I recommend Cucusoft DVD to iPhone 4 Converter Suite, which provides optimized presets for your iPhone 4 so you don't need to worry about the settings for your iPhone.
This Guide will explain how to play WMV videos on iPhone 4 with a WMV to iPhone 4 converter, what can help you convert WMV video to iPhone 4 audio/video format with few steps.
Step 1: Launch iPhone Video Converter
Free download the Cucusoft DVD to iPhone 4 Converter Suite trial version by clicking the link above and install it on your computer. Launch the programme and the main interface of it will be present on the screen.

Step 2: Open WMV video files
Click the "Open file" button to select the WMV video you want to convert from the hard disk.

Step 3: Set output folder and profile
Choose the output profile from the "Profile" pull-down list, click "Output" button to select the output folder.
Step 4: Click "Convert" button to start converting WMV to iPhone 4
Done! You can transfer the WMV movie to your iphone 4 with iTunes and enjoy yourself.
Related Link: AVI to iPhone 4