I hope you are able to understand what I am trying to ask here:

I downloaded a how to video from a site. It is WMV format. The video plays fine, but I am unable to move ahead in the video to get to the point I want to be at.

For example at I want to move the slider to the 15 minute mark because that is where the info is at that i need, but the slider doesnt move. So i have to wait 15 minutes to get there!

Is this something that is done in rendering? I have noticed this in some other videos too. Some I can fast forward in and some I can not.

Thanks.

Yes, it is done in rendering.

Many WMV encoders, including Vegas, expose a control (unituitively) called "Indexing" or "Index File". You need to have this checked in order to create a file that "seeks". It's not perfect, but with indexing enabled you are usually able to seek between keyframes.

In Vegas, select a WMV template | Custom | Index/Summary (the last tab on the bottom in the Custom dialog) | Index File. There are a couple of methods to choose from. Keyframes is the most common method.