I would have thought that that website only sold files in mp3 format, given its name, but I guess that's not the case...
since wma is a microsoft format, you will be able to open any wma file in media player as long as the file is not corrupt in some way. the link to the sample wma works now if you want to try it again though.
are you sure the file is not DRM-ed? when you click on file -> properties -> license tab in windows media player, does it say anything at all?