LW usually uses your default media player to play video files. However, the WMP isn't very reliable.
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 download 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.
