Windows Media Player Skin Package
A Windows Media Player Skin Package is a "theme" package for the Windows Media Player software (an audio/video player that comes with Microsoft Windows), causing the appearance of the program to fit an aesthetic style as desired by the user.
There is also a .wms file, which is in a format resembling XML, but not actually a valid XML file since it lacks a doctype, namespace indicators, or other header information indicating its file type or tag definitions. This file is central to the package, indicating how the various files are to be used by WMP. and able to add additional information screens, web links, and so on. (This is unrelated to Web Map Service, which is also abbreviated WMS.)
Reportedly, other Microsoft programs such as Word sometimes generate files with a .wmz extension as well, consisting of zipped graphics in other contexts besides WMP skins. These are actually the zipped version of Windows Metafiles. They will sometimes turn up as e-mail attachments which non-Microsoft software users aren't sure what to do with.