I don't know exactly, but I think it's because your WMP is lacking the needed codec to play that type of movie. There was a similar question asked a couple days ago. Xtra movie codecs for WMP can be found at: http://nimo.titanesk.com &
http://www.k-litecodecpack.com/
Also get GSpot (a free program) that will identify the codec that you might need .. it's free and it will tell you what you need to play a certain file.. just open the file in GSpot and it will tell you.
http://www.headbands.com/gspot/
Alternatively, you can try another player such as QCD player and it plays them fine. Very nice player, get it here.. http://www.quinnware.com/
or VLC (will also play divx, vcd's & dvd's, & more): http://www.videolan.org/
Hope that helps you.