rocknbil - 6:05 pm on Apr 11, 2010 (gmt 0)
How about converting it to .flv first, using the encoder packaged with CS3? You should find it under the apps bundled with CS3, look for "Adobe Flash CS3 Video Encoder."
However, fair warning, it may be grayed out there too, which can mean a number of things. It may not actually *be* a .wmv, or there is some incompatibility with the file actual type and CS3. A possible example may be it could be encoded with a encoding method or something that was not available/is not supported by CS3 (this is just an example, don't know that there's truth to it.)
There should be an "all supported file types" in the drop down when you go to import it, don't know if that will help.