Hey there....I found a solution to our problem that doesn't cost a penny! You have to download RadTools(Bink-Smacker). It works great and its totally free. Here's the website for you...good luck!
http://www.radgametools.com/bnkdown.htm
Once you download the program, select a file and chose 'Convert a File' in the lower left corner. Then choose the output type (for windows media player you need AVI). Make sure to check the bottom box to 'Convert Audio', otherwise the video will not have the sound. Then click 'convert file'.