Preview might takes a while whilst your video program loads & loads the file. Select the file & press Preview is the way. I hope your player has the correct codecs to play the video. You can get a backup player with in-built codecs here: http://www.videolan.org/vlc/ (choose nearest mirror site)

You can also get GSpot which will tell you which codecs a particular movie type needs: http://www.headbands.com/gspot/ Just open the movie via GSpot.