If it's in your Shared folder then it might be in process of being uploaded by others. Turn LW off then try. If still problems then see Incomplete Download File won't delete at all (click on link)

BTW it sounds like you can't play the file due to codecs. Try VLC - (click on link) _ (choose nearest mirror site) which is a player with in-built codecs & is very reliable. Otherwise get codecs for your player: CODECs list and alternate players for Movies