Welcome to the forums!
If anyone's having problems with capture, I always advise them to try one of a whole host of freeware/shareware applications available. One of our forum regulars says wonderful things about iuvcr (
http://www.iulabs.com/iuvcr/download.shtml), but I havn't got around to this one yet.
For analogue capture (I think this is how you're capturing), you can't go wrong with virtualdub (especially as it's free). check out a guide to capture at
www.marcpeters.co.uk/wondergoals.html (it's about capturing video games, but the principles are there).
VirtualDub should also be able to convert your WMV files to AVI (at least I think it can off the top of my head - unfortunately I'm stuck at work so can't verify this!). If it can't, I know that TMPGenc can convert from WMV to MPEG.
That should keep you going for a little while!