There is only one file type that uses the .WMX extension:
Windows Media Redirector File
Shortcut file used by Windows Media Player, the default multimedia player for Windows; saves a shortcut to a Windows Media Audio (.WMA) or Windows Media Video (.WMV) file; stores the location of the media file, but doesn't include the actual audio or video data itself.
|Microsoft Windows Media Player||Bundled|
Updated: June 11, 2011