Importing Windows Movies (WMV files) is rather easy. I will show you two ways of doing it, the free way and the easy way. If you would like to see a video of me importing Windows media to Imovie both of these ways here you go.
The first way and the easy is using Flip4Mac. Simply select the Windows file you want to import... DONE! If you want that ease of use you can buy that now for $30
The second way is using a product called Handbrake. You may also need the X.264 codec and possibly VLC. You your WMV to an MP4 then have iMovie import it. Links to all these are available in the Links Section of this site.