Likely caused by a missing codec for WMP, while VLC uses its own.
Try exporting with MPEG encoding. Click the ENCODING button and make that choice. Try an AVI export, instead of Mp4.
If no joy, please upload your project to a server - Dropbox, Google Drive, MS OneDrive, etc. - and link it here. Someone will have a look.
Click FILE|SAVE AS PORTABLE PROJECT and upload the folder that results.