[Simon]

Does the video need to be on the very first page of the site which someone will see?

If not, you could add the media player code to the first page but with the height and width set to zero. That way the video will be downloading in the background before they get to the page where you want to show them the video.

On the other hand, if the video needs to be on the very first page, you may have to use Flash if you want the progress bar feedback while buffering is going on. (Flash won't stream without a Flash server yet). If you can get the original video media from the client to work with, the Flash version should look as good or better than the wmv file.