I don't know which player you're using but I'd recommend one of these:
1. VLC - (click on link) __ (choose nearest mirror site)
2. XinePlayer
3. http://mplayerosx.sourceforge.net/

If you're trying to play wmv or asf files then some of these you will have problems with. I don't believe there's any player on the mac, even the OSX version of WMP with the ability to play WMP version 10 video files.

Most OSX users avoid wmv & asf files & instead aim for mpg or avi files.

BTW if it's an avi file you're having problems with, then get DivX Doctor. a quick google gave this http://www.3ivx.com/divxdoctor/