Probably a codec problem. Try using
VLC media player, it has the codecs built in and will play most file types.
CODECs list for Movies/Alternate players / Video help forums/ video-mp3 fixers
There's a program called
GSpot that can tell you what codecs you need to play a particular file.
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.
If your OS is Vista try:
Vista Codec Package v4.4.8 (freeware).