Your probably missing the right codecs for it to play properly.
XP Codec Pack 1.3.0 Is a good one for Windows media player. Be sure to install it if you d/l it.
You may want to try playing it in a different media player.
VLC media player is a good one that has the codecs built in and will play most types of files.
More info here:
CODECs list and alternate players for Movies
Could be it's a bad file.
Bitzi Web Lookup is a way to help sort out which files are good or not.