What type of files are they? It's probably a codec problem.
For WMP,
K-Litecode Codec Pack gets recommended a lot. I use
XP Codec Pack 2.0.6 and rarely have any trouble playing a file.
You could also d/l another media player.
VLC media player is a good one that has the codecs built in and will play most file types.
More info here:
CODECs list for Movies /Alternate players / Video help forums
What player do you want to use? It's easy enough to change. Just open the folder with the files in and right click one of the files > properties > Change > select player you want > OK.
See:
Setting Default video app