Problem with films after downloading

[Rana]

Hi there, can anyone help me out? I've downloaded a few films and opened them up in windows media player, only problem is I can hear sound but no pictures. Do I have to covert the download so I can watch this or is there some free software which I can get to sort out the problem. Also want do I need to convert to to watch or convert to normal DVD disc. i.e. .aiv, .wmv, etc. All I need to know is how to get pics with my sound and what it needs to be converted to so I can burn onto DVD, thank you!