The problem seems to be that the windows media player is accessing the file from a domain other than mine, its own domain, so I am blocked from getting the file even if coming validly from domain.com... does that make sense? Is there a way around this?
WMP copies files to it's own play list. That's why you can still play them from your desktop without being connected to the internet. If you freely offer media files on your website, there's no way you can prevent WMP from making it's own copy. By forbidding remote referrers for .wmv, you are not allowing WMP to operate the way it's set-up to work.