<p>How do I embed a WMV file in an ASP.NET Web page? I want it visible as a player, not just a link. Is there an ASP.NET control for this? I don't see one on the VS 2008 toolbar, and can't find one in the help. And I'm not yet ready to move this site to Silverlight, where media is really easy.</p>

WMV is primarily a Microsoft file format.  There is no inherent browser support for this format, so you're going to need a browser plugin to play it.
I'm pretty sure you can embed Windows Media Player on a page to play it, but that'll limit you to clients running Windows and who happen to have Media Player installed.
If you need to support a wide audience, I'd seriously consider re-encoding your video to something like FLV and using a Flash based video player.  I haven't got statistics to hand that back this up - but Flash Video is the most widely supported video format in the browser.