CODEC's for WMP is what you need. We recommend getting a backup player, VLC which has built-in codecs inside the player & can play almost any video you will come across; see CODECs list for Movies/ Alternate players / Video help forums

As for iTunes, it has certain requirements as to what formats it can import. See How to transfer to my iPod (& iTunes) - for video for more about this.

Downloading videos can be slow. You can only download as fast as the speeds & upload slots that are available at that time. In some cases you may be downloading from a partial download (someone who is downloading same file but doesn't have 100% of it yet.) Search again periodically to try to get fresh & new sources to download from, also use the 'Get More Results' option by right-clicking the search results tab.

More tips about video: Movie download issues (click on blue link)