You cannot directly convert an SFC .rec film to a windows media movie. (Only SFC knows how to interpret a game film file, and what models to use for what ships etc...). Your best bet might be to run in windowed mode and use an application like
Hypercam to capture video from screen as SFC plays back your film.
Now there might be better ways, Chris Jones may have some tips, and who was that fellow that made a movie with SFC3? Wasn't long ago.... What did he use?