FFDShow works only for decoding and play back, it cannot be used to encode and regular VirtualDub cannot work with WMV, it works with AVI’s only.
If you want to encode some video to Microsoft MPEG-4 (WMV), you can use their Encoder. It’s free:
http://www.microsoft.com/downloads/details.aspx?FamilyID=5691ba02-e496-465a-bba9-b2f1182cdf24&DisplayLang=en
Microsoft’s Movie Maker can probably do it as well.
