PowerPoint should play a .wmv (windows media video) although it would appear that if the combination of path and file name exceed a certain length (believed to be 128 chara) then the video is not found.
Instead either move your presentation, which will unfortunately break the links, or ideally use the PowerPoint Package for CD feature (Office 2010: File > Save and Send, Office 2007: File > Publish > Package to CD) and choose to save the presentation to a destination with a shorter path name.
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This is question number 2472, which appears in the following categories: