It could also be that the file is corrupt/fake. Before d/loading videos, check them with
Bitzi Web Lookup. It'll help you sort out the good ones. While on the Bitzi site, search for the file there and use the magnet link to start the d/load in limewire.
You may just need to d/load some codecs or use another player.
Try using
VLC media player, it has the codecs built in and will play most file types. It's a good player to keep around for those stubborn files that you can't get to play.
For WMP try
K-Litecode Codec Pack or
XP Codec Pack 2.0.6.