Big problems with mpg playing

Hi guys:
I use to have the same problem as another guy over here ("failed complet downloads"), but anyone answered him.
While I'm downloading .mpg I can watch them with the LW launcher, but the movies seemed to be cut in several films, I mean, when the QTPlayer shows to end, I slide back the cursor and discover that the film continues again and again till reach the real end of the film. But... whe the downloaded ends I couldn't do it again, and QT only shows the firsts seconds of a 70 mb film.
Whats happening, it's the first time I come with something like this.

Thx for your help !!