Whenever you split a large MyMovie.wmv, each MyMovie CD(n+1) will include the last second of the MyMovie CD(n). Thus you can make sure that you will not miss any frames during splitting. J
Note: If you have used VBR, movie length based splitting will not result in files with equal sizes.
Use Constant Bit Rate (CBR) for both Audio and Video. Sample settings are shown below.

Open Windows Media File Editor
Open the large MyMovie.wmv file (E.g. 1400MB = Two 700MB CDs)
Slide the curser (in the left side of HH: MM: SS. MSEC) to the end, to determine the length of the movie. (E.g. 1:24:43.967)

Now determine the time for the half of the movie (E.g. 0: 46: 22. 967) -- Leave MSEC untouched
Note down the values somewhere
Type the values in the HH: MM: SS. MSEC
Press Seek
Press Mark Out

File > Open > Save as and Index > MyMovie CD1.wmv
File > Open > MyMovie.wmv
Type the exact values (E.g 0: 46: 22. 967) in the HH: MM: SS. MSEC -- Leave MSEC untouched
Press Seek
Press Mark In

File > Open > Save as and Index > MyMovie CD2.wmv
Close Windows Media File Editor