Try VLC found at http://www.videolan.org/ (it's free.) The problem with WMP is that you may need xtra codecs to play some media. I don't know the app you're using but VLC will play most things (dvd, vcd, divx, etc.) Highlight one of these movie files you're refering to, go to File/Properties & press the Change button & select the app you want this type of file to be automatically opened with in the future.
Hope this solves your problem.