This site is NO LONGER being maintained for the "ALL NEW" site that talks about the new iMovie 11 please visit TheUnofficialiMovieFAQ.com
Both Real Networks (.RM, .RA, and .RAM video files) and Microsoft (.ASF, .WMA, and .WMV video files) make it VERY difficult to import footage encoded with these formats. Especially on a Mac.
The Cheap Way:
There's another way to get .asf, .asx, and SOME .wmv files into iMovie. Get the latest version of VLC (0.8 or better) . Launch the program. File -> Open File and browse for your file or type the path. Check the Advanced Output box and click the Settings button. Select your Encapsulation Method from the popup menu. I've had the best luck and quality with MPEG-4, so that's what I'll refer to here. Go up to the Browse button and select a name for your file and where to put it. (If you do this after you select the Encapsulation Method it'll put the right extension on it.) Check the Video box and select mp4v. Check the Audio box and select mp4a. Set the bitrates for audio and video as close to their original settings as you can (from the Info option in Windows Media Player). "Channels" is usually 2. Don't bother changing the scale because iMovie is going to scale it to full screen anyway. Click OK, then OK again and it will play to a new file.
At bit more money:
A last resort:
Once you have the audio and video you just reassemble the footage in iMovie or Quicktime Pro.