The WMP seems to have an issue with unrendered files and/or codecs.
You can try to download the free VLC player with built in codecs. It plays almost all files without problem.
To preview files you've started to download, you'll nee to go to the Incomplete folder located somewhere at C:\ Documents and Settings\Administrator<your computer name>\Incomplete and open them from there using the VLC player.
http://www.videolan.org/vlc/ 