It'd help if you told us more about your computer & OS. I'm not really into WMP, but there's a chance you're missing codecs to play what you want to play (see http://nimo.titanesk.com for any codecs you might need.) ie: Perhaps WMP is unable to play the media & a typically dumb meaningless Microsoft message appears. For codecs you can also see: GSpot.. it's free and it will tell you what you need to play a certain file.. just open the file in GSpot and it will tell you.
http://www.headbands.com/gspot/ (Thanks to KathW!)
The reason I've made these suggestions is b/c I think that's the same message I've received earlier on.