It could be for a few reasons. You can only launch multimedia files (audio, video, pics) thru LW. You also need to have apps with the appropriate codecs to play the material. If you're refering to WMV files, then yes M$ do put licencing on some of their own formats. You can try another video app to open those particular files.
VLC (a free player with built in codecs & plays almost everything except a few wmv files) (Select the closest mirror site to you.) Just a suggestion. And/OR your can dwnld xtra codecs:
http://www.divx-digest.com/software/nimo_pack.html
If you think the issue is adult setting then you can go to LW's menu Tools>Options>Filters>Keywords & untick ignore Adult content. Though I thought this would have had more effect with dwnlding.