Rather than linking drectly to the .wmv file in your html, you would link to a Windows Media Meta File (aka a playlist file). These usually have the extention filename.wvx and are just short text files that tell the media player what videos to play. It's possible to do a number of effects such as put adverts next to you videos in the player or even include another html file inside the player window. You can string videos together so they run sequencially and so on.
Have a look at
http://www.microsoft.com/windows/win...trowmmeta.aspx
http://www.microsoft.com/windows/win...laylists__DTEM
Alternativly, just make 4 html pages with a different video embeded in each (or use some server side scripting to build the different scripts into one page) and then use ordinary <a> tag links to point to each page. After all, the 20kb or so to reload the html page is minor compaired to the mb sizes of the actual videos.