You should be able to if you've downloaded a certain % AND you have a player that can read that particular video format. It may also depend on your player whether it can play an incomplete video file.
For a standalone player with built-in codecs & plays all except the odd wmv file get VLC (it's free!):
http://www.videolan.org/vlc/ (choose nearest mirror site)
If you need more codecs for your present player, see:
http://www.divx-digest.com/software/nimo_pack.html (Choose Mirror 2 link ONLY!)
OR
http://www.click-now.net/html/K-LiteCodecPack.htm