The JW Player for Silverlight brings your WMV library to the small screen.
Documentation of the player can be found at the JW Player Wiki. It also includes the roadmap, source code and bug tickets. Note that as of yet there's no XML playlist support in the Silverlight version.
If you've created a CMS module that embeds the player in existing CMS systems (or you've found one online), please submit it here.
If you want to learn more about Microsoft Silverlight, we recommend you download the Silverlight SDK. This SDK contains an extremely useful helpfile with a quickstart, some howtos and a complete reference. It's in a Windows help format, but Mac people can use Chamonix to view it.