Microsoft obviously has a more complicated relationship with "industry" standards, because anything it decides is its standard—even proprietary ones—becomes a kind of de facto standard for everybody else, simply because of Microsoft's overwhelming marketshare. This was more true in the past than today, with Microsoft playing ball with everybody else more often.
Microsoft's AV Club Let's start with Windows Media Audio—most commonly, it's known as Microsoft's proprietary audio codec that at one point fought the good fight again MP3, but is now much more, having grown into a sprawling family of various codecs with multiple versions. To name a few of the current ones, there's WMA 9, WMA 9 Lossless and WMA 10 Pro. Microsoft says it offers superior quality/compression over MP3, with "CD quality at data rates from 64 to 192 kilobits per second." Needless to say, while it's baked into Windows Media Player for ripping CDs and is supported by a fairly wide range of PMPs and phones, it obviously never displaced MP3, nor is it ascendant as the "new" standard like AAC (the official successor of MP3), basically since it isn't supported by the iPod, which owns over 70% of the MP3 player market. WMA Pro, despite being an even better codec than WMA, has more limited support still, mostly with Microsoft's own hardware, like the Xbox 360 and Zune.
WMA's more ignoble legacy, undoubtedly, is PlaysForSure, Microsoft's grand attempt to standardise the entire digital music industry (except Apple, or rather, against Apple) by getting everybody on the same page. PlaysForSure was technically a certification for players and services with a variety of requirements, but support for WMA, WMV and Windows Media DRM is what it amounted to in practice. Microsoft succeeded, for a time: Pretty much every PMP maker and services from Walmart, Rhapsody, MSN Music, Yahoo, Napster and others were all aboard PlaysForSure. Then it imploded. As every real music service went to DRM-free MP3, Microsoft re-branded it to Certified for Windows Vista. Which, incidentally, was a badge they slapped on the Zune, Microsoft's own audio player that didn't actually support PlaysForSure. When Microsoft ditched its own standard for its premiere player, everybody knew PlaysForSure was dead.
Windows Media has been more successful on the video front, with WMV. Like WMA, it's gone through multiple versions: At one point (WMV 7) merely Microsoft's take on the MPEG-2 standard, Microsoft actually succeeded in making it a genuine industry standard, with WMV 9 becoming the basis for the VC-1 codec that's backed by the Society of Motion Picture and Television Engineers. VC-1 is part of the spec for both HD DVD and Blu-ray, though at this point it's really just an alternative to H.264, which is becoming the dominant modern video codec. WMV saw some success as the codec of choice for some services during the heyday or PlaysForSure (since WMV support was part of the certification), but now it sees a lot of action as the video codec for Silverlight, Microsoft's Adobe Flash competitor.
Internet Exploder Silverlight itself actually isn't doing so bad, considering it's fighting Flash, which is installed on the vast majority of internet-connected computers. But like Flash, it's proprietary, which is obviously a bit disconcerting for people who want an open web. Which brings us to Internet Explorer. The early history of IE and Netscape is grossly complicated, but suffice it to say, being included with Windows eventually gave IE over 90% of browser marketshare. In other words, Microsoft defined how an overwhelming majority of people looked at the internet for years—meaning it essentially defined what the internet looked like. Microsoft essentially stopped moving forward with IE6, sitting on its arse for years, which is a problem since it's totally non-compliant with what most people would call modern web standards. (Short version: Web developers hate IE6.) With IE8, which entered a new world with Firefox having devoured a huge chunk of its marketshare, Microsoft supports actual real web standards (mostly—it still fails the Acid3 test miserably). And, they're actually serious about HTML5, even though they're not planning to implement the controversial video aspect at all.
Do You Trust Me? Obviously, Microsoft's in an odd spot in part because the constant spectre of antitrust allegations hang over its head—it's had to de-couple Internet Explorer from Windows in Europe, and it's moved to separate other stuff from the core OS, like even its mail, video and photo applications, making it harder to achieve the kind of de facto standards through sheer force of market like before.
Which might be part of the reason it's moving to make tech legit industry standards—besides VC-1 above, for instance, its HD Photo has become the basis for the successor to JPEG, now dubbed JPEG XR. Also, it's simply that standards matter more now than ever as people do more and more of their computing on the web, on multiple platforms from Windows desktops to Android phones, so industry-wide standards are way preferable to proprietary formats, even if most people still are on Windows.
Increasingly, if Microsoft wants people to use their tech, they're going to have to open it up in the same quasi-way Apple has (it'll also go a long way with the whole trust/control issues people have with Microsoft). So don't surprised if you see Microsoft continue to "open up" and "standardise". Just don't be surprised if the standards they embrace have Microsoft tech at the core.