It sounds like your missing the right codecs to play the files. Also it's odd that one part would be avi and the other mpg. Chances are that you downloaded two parts of a file that didn't go together and also a lot of movie files are either fake or corrupt.
You could try playing the files in a different media player.
VLC media player is a good one with the codecs built in and will play most any file.
XP Codec Pack 1.3.0 is a good codec pack for windows media player. Be sure to install it after you d/l it.
More info on codecs and media players here:
CODECs list and alternate players for Movies
Learn to use "Bitzi" it will help tell you which movie files are good or not:
How to use Bitzi Web Lookup ... & How to use Magnet Links & Direct Connect/Browse/or Chat