Hi John,
In fact ffdshow you have might not be set to decode DIVX.
To set it go to the GraphEdit, insert ffdshow MPEG4 Video decoder.
In "Codecs" page, opposite "DivX3","DivX4","DivX5" format, choose "libavcodec" in "Decoder" combo box.
To model the situation with WMP try to build the following graph:
WM ASF Reader ->ffdshow MPEG-4 Video Decoder->Video Renderer.
If it is played, your file has to be played with WMP too.
One more thing, try to uninstall native DIVX decoder to ensure the fault doesn't stem from one presents.
If it doesn't work please upload us a sample of your file (10-15Mb).