What player are you using? Sounds like you need to d/load some codecs or try another player.
Try using
VLC media player, it has the codecs built in and will play most file types. It's a good player to keep around for those stubborn files that you can't get to play.
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).
CODECs list & alternate players for Videos and Audio