How to convert *.ts (MPEG-TS I guess) video file to WMV or MP4 using any Windows tool

"If the source of the *.ts files is a DVB card then the files may have non-compliant GOP structure and/or sync issues.

You will need to re-mux them into a normal MPEG file, PVAStrumento and ProjectX are tools to do this. (ProjectX requires Java)

If they are from any other source I recommend Avidemux or MeGUI for conversion.

EDIT: Just found another DVB stream tool - TS-Doctor

Cypheros TS-Doctor is designed
recorded DVB transport stream to check
for errors and, if possible, make it
as compatible as it can to play it
back without studdering or picture and
sound delay. The program tries to
change as little as possible in the
original stream in order not to create
additional incompatibilities. PAT and
PMT be adjusted and non-existent PIDs
deleted from the tables. The picture
and sound streams will be analysed and
displayed. Not needed streams will be
deleted. The program has a detailed
review of H264 and MPEG2 video
streams, AC3 and E-AC3 audio streams
through CRC check."