Windows Media Player can play many different formats, but it's 'own' format that was originally designed for it (and optimised for it) is .wmv . :)
You can't record video from your VBA directly into .wmv format (you can convert it later, but you won't need to do that). However, Windows Media Player also supports another video format known as '.avi', which Visual Boy Advance can record video in.
If you want to record video straight from Visual Boy Advance into .avi format:
1. Open your emulator
2. Open the ROM you wish to capture your video from
3. Go to Menu -> Tools -> Record -> 'Start AVI Recording...'
4. Choose a destination to save your recording and give it a suitable name.
Now everything you do in the VBA, will be recorded, when your ready to stop your recording:
Go to Menu -> Tools -> Record -> 'Stop AVI Recording'.
And that's all you need to know. Good luck! ;)