error after downloading

[celest]

i've been reading that many of you had problems while downloading. i was wondering if any of you had problems opening up files after they are downloaded. i am able to download files but when i click to upen them, they open in windows media player and an error message pops up. it says that it has 'encountered an unknown error'. when i go look it up it says:
Windows Media Player encountered an unknown error. This can occur when another program or operating system component encounters a problem but does not communicate the nature of the problem to Windows Media Player.
Because this generic message can be displayed in a wide variety of circumstances, there is no single solution.

when i download audio it plays but when i download video it gets that message. i've tried opening them in other programs but they don't work either. i have windows xp, dsl connection. what may be the problem and how can i fix it?
thanks