LW usually uses your default media player to preview video files. If this is the WMP then it ight 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 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 but make sure to NOT allow VLC to make any changes on the incomplete file.
