Failing to open emailed documents

[Podge]

My Spanish bank has sent me 4 images, each described as wmz Windows Media Player Skin Package. However, I am not able to open them and such description is new to me. The sender, my Spanish bank, is well known to me but it says it cannot send the information in any other format.
None of my local computer contacts has been able to advise me.

 

[Trouble]

Based on some brief reading, I know of no legitimate reason why "your bank" would be sending you packages to install additional skin options to Windows Media Player.

It contains a combination of graphics and JScript code

SOURCE: WMZ File Extension - What is a .wmz file and how do I open it? (fileinfo.com)

Since it contains potential script (code). I would be very reluctant to download, install or otherwise attempt to use such a file.
AND
I would speak with the "Bank" to determine what exactly is intended.