Are you using a nested embed tag inside an object tag? Firefox needs the embed tag.
Try this code for Windows Media Player:-
<object classid="clsid:6BF52A52-394A-11d3-B153-00C04F79FAA6" width="320"
type="application/x-oleobject">
<param name="url" value="images/tutorial.mpg">
<param name="controller" value="true">
<param name="autostart" value="false">
<embed src="images/tutorial.mpg" controller="true" autostart="false" loop="false" width="320" height="275">
</embed>
</object>
or this for QuickTime:-
<object classid="clsid:02BF25D5-8C17-4B23-BC80-D3488ABDDC6B" codebase="http://www.apple.com/qtactivex/qtplugin.cab" width="320" height="265">
<param name="pluginspage" value="http://www.apple.com/quicktime/download">
<param name="src" value="images/tutorial.mpg">
<param name="controller" value="true">
<param name="autoplay" value="false">
<embed src="images/tutorial.mpg" controller="true" autostart="false" loop="false" width="320" height="265">
</embed>
</object>
The examples work with .mpg and .mp4 format but I'm not sure about .wmv format; I expect that you will have to use a different classid (use Google to find it).
If a viewer doesn't have Windows Media Player or Quicktime there should be a popup to download it.
Edit: I've just found this page with .wmv code:-
http://www.mediacollege.com/video/format/windows-media/streaming/
<OBJECT ID="MediaPlayer" WIDTH="192" HEIGHT="190" CLASSID="CLSID:22D6F312-B0F6-11D0-94AB-0080C74C7E95"
STANDBY="Loading Windows Media Player components..." TYPE="application/x-oleobject">
<PARAM NAME="FileName" VALUE="videofilename.wmv">
<PARAM name="ShowControls" VALUE="true">
<param name="ShowStatusBar" value="false">
<PARAM name="ShowDisplay" VALUE="false">
<PARAM name="autostart" VALUE="false">
<EMBED TYPE="application/x-mplayer2" SRC="videofilename.wmv" NAME="MediaPlayer"
WIDTH="192" HEIGHT="190" ShowControls="1" ShowStatusBar="0" ShowDisplay="0" autostart="0"> </EMBED>
</OBJECT>