Multilanguage files usually come from a DVD source with multiple audio languages.
Those can be included into a compressed avi and can be selected using an apropiate player.
Windows Media Player will not currently allow you to switch between the two audio tracks. You can download the [Morgan Stream Switcher plugin], which will enable stream switching in WMP.
After you have installed it, you should see a red blob near the bottom-left corner of your WMP window when a multistream movie is loaded. If the blob is showing, you should now be able to use the WMP menus to switch between the two audio tracks.