It can be done in a couple of steps. The instructions assume that you're going to be placing this in your Zune library...which of course you won't....so just skip that step.
http://support.microsoft.com/kb/932614
Also, one of the cool things about Windows is that there a ton of free utilities....many of which are worth exactly what you pay for them, but some of which are superior to anything on Mac for any price. I have no idea where on the spectrum this one falls. The reviews are only decent, not great, but the screenshot looks a lot easier than the WMM steps outlined above.
Take a look, see what you think:
http://download.cnet.com/Free-Convert-to-DIVX-AVI-WMV-MP4-MPEG-Converter/30...
Note when downloading free utils: stick to reputable sites only. CNET is definitely my favorite. They download and install all this stuff first, so you can be sure that there's no monkey business.