Locate this file using your default media player and try to open it with this player. Or go to the folder where the file is in, right click on it and go to "Open with....", choose your default media player.
If this player can't open the file, then you might have a codecs issue.
In this case I recommend you downloading the free VLC player with built-in codecs which can play almost all media files without problem.
http://www.videolan.org/vlc/ 