The video file you have might be encoded with a codec you don't have installed.
There are codec packs which cover the most of them, so that media players can play videos.
You can try downloading the most popular I know, k-lite codec pack from
here. And try to play the video again.
If you don't want to mess with codecs and stuff, you can always try downloading
vlc media player, that plays nearly anything without the need of separate codecs.