I was able to transfer a .wmv video to my Samsung Ativ-S wp8 phone. I did the following to get it to work
1. Connect your wp8 phone to the desktop/laptop and ensure that its recognized as a device that can be communicated with
2. On my win8 desktop, right click on the video you would and choose Send To -> Samsung Ativ-S (or whatever name your phone is identified by)
3. You will receive a message "Do you want to be able to play ***.mwv on your device?
Yes (recommended)
This file will be converted and copied, so you can play it on your device
No, just copy
Your file will be copied, but might not pay on your device"
Choose Yes and the file will be copied after conversion. The copy process would take longer than just copying, but once its complete, you should be able to play the video on your phone.
I have only tried it on my phone with the latest WP8 version, so this may not work with older windows OS + wp.