Since in as3 you don't need a wrapper class for an activex, you can call it just as in ffish script - first create the activex control with Global.createControl method, which returns an object with properties, "activex" and "window". The "activex" represents the dispatch interface of wmp, and thus can be used to call wmp methods.
Code:
import SWFKit.*;
var wmpControl = Global.createControl("WMPlayer.OCX.7", 0, 0, 200, 200, null, null);
var wmp:ActiveXObject = null;
if (wmpControl != null) {
wmp = wmpControl.activex;
wmp.url = 'c:\\test\\test.avi';
}