That means you don't have the right codecs (mini-programs that translate the various video formats.)
Two suggestions: 1. Get more codecs: Nimo's codec pack should help:
http://www.land.ee/d_nimo_codec.html OR
http://www.click-now.net/html/K-LiteCodecPack.htm
2. Get a backup player called VLC which is free & has all its codecs built in & plays everything except the odd wmv file. Get it here:
http://www.videolan.org/vlc/ (choose nearest mirror site)