Your rm file can be a metafile - simple text file with information about a stream. You can try to open it with a simple text editor and see its content.

I don't really know how to record streaming video or audio with WMPlayer.
VLC player and MPlayer can do that, but they are not very good at recording real video/audio/media streams. Another free media stream recorders called Orbit Downloader also have problems with real streams.

I prefer to record streaming Real video/audio lectures with WM Recorder or NetTransport.