Please don't tell us what copyrighted material you're downloading! That's against the forum rules... could you edit your post?

Sounds like you might have a problem with codecs. What player are you using? There's a link to different codec packs here & also VLC player, which comes with built in codecs & plays just about anything
Codecs & VLC
(if you're using WMP, the XP codec pack is a good one)