If my memory of AE is correct AE doesn t have very many options for video exporting. I remember that I could render a video out to a wmv file, try looking into rendering out your video file instead of exporting it (different options).
If you still don t find a way to output to wmv I would recommend you simply output a basic uncompressed AVI file in an uncompressed format then use Windows movie maker (or any number of free programs floating around on the internet) to convert your raw AVI to WMV9 video file.
You can then drag and drop your new wmv into your content pipeline and it should set up the appropriate importers/exporters.
For the record doing conversions outside of a video editing app is not really hacky imo, you have to work with the tools you are given and not against them.