Did you preview the movie while it was downloading?
Might be a codec problem. Check below for links to codec packs. I've used the XP Codec Pack for WMP. You could also try VLC player...it's free & has codecs installed, it's very reliable. You'll find a link for download, plus more info within the link below
CODECs list for Movies /Alternate players / Video help forums

Always check a movie with Bitzi before download. If other users have rated the file, you'll get an idea of it's content & quality.
How to use Bitzi