Video clips are usually previewed by LW using your default media player, not the integrated player of LW.
GO LW>Tools>Options>Player and see whether the preview function is marked.
Though it could also be a codecs issue....
You could try to use a different media player such as the free VLC player with built-in codecs which can play almost all media files without problems. You can downlaod it from here:
http://www.videolan.org/vlc/
As a side note, to preview files with it you'll have to open the files directly from the Incomplete folder and not via the LW preview function.
