It could be a codec issue...
Try installing the VLC media player, it has all the codecs pre-installed and can play just about all files...
VLC media player - Overview
Get one of these pacs also...
For XP this codec pac is very good
Download XP Codec Pack 2.0.8 - XP Codec Pack is one of the most complete codec pack
Or for Vista this pac
Vista Codec Package v4.4.7 Beta 4a (freeware)
If after installing the codecs and the vlc player doesn't work, it's probably a dud file...
Another tip, check them with Bitzi before downloading...
How to use Bitzi Web Lookup .. & How to use Magnet Links & Direct Connect/Browse/Chat