You can't. PHP is a server-side language, and what you're talking about is a client-side application.
Are you simply asking how to embed a WMP-specific video type/stream into an HTML document?
EDIT: Also..
Springles wrote:when the user checks the page source he wont find the direct link to the video file
Why? You're going to have to provide some sort of specific URI someway, otherwise how will the browser know where to find the video it's supposed to be playing?
If the answer is to prevent people from "stealing" the content, you might want to keep this in mind: Any content you wish to display/use/etc. on a website can be "stolen" (e.g. downloaded/reproduced/etc.). There are no exceptions.