After re-reading your original post it sounds as though you're new to using LW.

Make a note of the site you download from. And try to preview the file as it's downlding. It will of course need some % downlded before you can preview. If you can't play it, then stop downlding it & choose another source. You might even want to block that original address (right-click on file in window to block it. Or go to Tools>Options>Filters>Hosts & add that address.) You can add/remove these if desired. Just remember to press the Apply button.

Were you trying to play the movie files by launching thru LW or outside of LW?