I think LW's media player has a limited set of video codecs built in, but the latest versions of LW will also seek codecs installed on your computer if the media player cannot play the video file.
Movie download issues (click on blue link) (2nd last post has information on best video formats.)
If VLC cannot play the video file, I'd been a somewhat suspicious of the file itself. VLC can play a wide range of both video & audio formats.
Knowing the video file extension might assist. Beware of WMV & .mov video file formats. The link I gave above lists a few other formats to beware of.