Either you don't have appropriate codec for it, else, not enough of the file has downloaded for your video player to recognise it. LW doesn't necessarily download in sequential order. eg: you may have downloaded 5% which consists of 0.01% at beginning, 1% at 25% thru the video, 0.5% at half way thru, etc.
Best if try to preview when 10% or more downloaded. Of course you cannot preview if nothing downloaded.

Check half way down this list: http://www.gnutellaforums.com/genera...-osx-help.html I highly recommend Perian & making sure MIME is set up correctly & adding the extra QuickTime Plug ins.

Note: re: previewing; to prevent Preview files being created in your incomplete folder, I recommend going directly to your incomplete folder listed in LW Library window, find the file you wish to preview & press Launch button.