The newest alternative to play Windows Media files on Mac is Flip4Mac, a plugin for QuickTime that gives you the possibility to play Windows formats using the the Apple multimedia player.
Microsoft stopped updating Windows Media Player for Mac some time ago. However, if you still want to install it, be patient, it will not be easy.
You need Stuffit Expander to decompress the installation file.
Once decompressed, click the installation file, follow the steps and when the installation process is finishedado, access the Windows Media Player folder you will find in the Applications folder to run it.
Finally, you'll be able to play Windows Media files on Mac.