The following works for me in Firefox and Internet Explorer:
<object id="mediaplayer" classid="clsid:22d6f312-b0f6-11d0-94ab-0080c74c7e95" codebase="http://activex.microsoft.com/activex/controls/mplayer/en/nsmp2inf.cab#version=5,1,52,701" standby="loading microsoft windows media player components..." type="application/x-oleobject" width="320" height="310">
<param name="filename" value="./test.wmv">
<param name="animationatstart" value="true">
<param name="transparentatstart" value="true">
<param name="autostart" value="true">
<param name="showcontrols" value="true">
<param name="ShowStatusBar" value="true">
<param name="windowlessvideo" value="true">
<embed src="./test.wmv" autostart="true" showcontrols="true" showstatusbar="1" bgcolor="white" width="320" height="310">
</object>