Probably not your router or connection. If you can download audio files then you can also d/load videos. Also legitamite movie files are 600 to 800MB/s in size. Anything as small as your trying to d/load is probably porn or spam. For videos I stick with mpg/mpeg or avi. The others tend to be porn or spam.
One thing you can do is check the files with
Bitzi Web Lookup before attempting to download them. If noone has rated the file there's a pretty good chance that it's a fake. Then preview the file when it gets to about 15% completed. That way you don't waste your time downloading a dud/empty/renamed porn file.
Try using a different media player.
VLC media player has the codecs built in and can play most any file. More info on codecs and players in this thread:
CODECs list for Movies/Alternate players / Video help forums/ video-mp3 fixers.
There's also a lot of fake files on the network. You can read more about fake files here:
Recognising Fake files.
Then see this thread has good tips to help improve the success of your file searching.
How to find music. Also applies to videos.