I have had no trouble downloading music [audio] files, but the only files that I find that I can open when downloaded are mpg or mpeg files. I get mov, avi, and wmv and I can download them, but can't open them.. Is there any way to view the files on my Mac other than the mpeg/mpg?

Get this player: VLC - (click on link) _ (choose nearest mirror site). Alternate player is MPlayer; MPlayerOSX / MPlayer - The Movie Player

To make it the default of playing video formats, see How to change default program in OSX

There are other options. Such as getting 3rd party plug-ins for quicktime player such as DivX, XviD, 3ivx, etc. And for WMV, Flip4Mac.