Your probably missing the right codecs to play the 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.
Or you could try playing it in a different media player.
VLC media player is a good one with the codecs built in and will play most any file.
More info on codecs and media players here:
CODECs list and alternate players for Movies
Also 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