I'm not sure exactly what you mean, whether the files is .wmp or .divx is determined at the time the file is created, you may have to download the .divx codec pack in order to get Windows Media Player to play .divx files.
If you are creating the videos then it depends on what video editor you are using.
If you want Windows Media Player to be the default player for .divx, right click on one of the files and select properties and change the open with setting.