Actually, you're better off using TCPMP and I'll tell you why second. First, I wonder if you don't have the wma/wmv files installed. Try this: Download
http://forum.ppcgeeks.com/attachment...4&d=1186684224 (click the link, don't copy/paste) and unzip and you should find two files; wmadecoder.dll and wmvdecoder.dll. Copy those to the \windows directory on the device. Now try Orb again. Hopefully it brings up TCPMP and it plays properly.
The reason you're better off using TCPMP is because Windows Media Player uses DirectDraw and there's a problem with DirectDraw on the Mogul. With TCPMP you can go to Options->Video and select Raw Framebuffer or GDI which plays video without using DirectDraw. DirectDraw has a problem with stuttering and not being able to keep up with the stream speed. Modes that don't use it don't suffer from the problem.