Before you download a file (movie, or music) you should check the file using the "Look up with Bitzi" function of LW. (right click the file you want in the search result and choose Advanced>Look up with Bitzi, if I'm not mistaken).
Look also at files sizes, a movie should be anything from 500MB up (for series it might be 250MB up).
The ads you get are most likely quick time files and not worth being downloaded. Also avoid files which offer hundreds of hosts, choose those with some 10-20 hosts.

If you have general preview problems you might consider downloading a different media player. The free VLC player has built-in codecs and can play almost any file:
http://www.videolan.org/vlc/

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