Well, I know a looongg way of doing it.
1. Get Fraps.
2. Play the WMV
3. Spam the Fraps capture hot-key depending on how good you want the frame rate of your gif to be.
3. Photoshop the caps to adjust quality/cropping.
4. Use a freeware or shareware Gif-maker (Easy Gif Animator will work)
It's tedious, but it would work.