Which OS? If you're on Windows XP or Vista then your computer probably doesn't have the codecs installed for those videos. Video files are encoded in a range of different formats - most of those formats aren't supported by older versions of Windows. Windows 7 supports most formats.
VLC Media Player (http://www.filehippo.com/download_vlc/) is a good program that will play 99% of video files. If you really want to play them in Windows Media Player then you need to download a Codec Pack which will install all the files that WMP and most other media players need to decode video files. There are loads of codec packs but the K-Lite Codec Pack (http://www.filehippo.com/download_klite_codec_pack/) is probably one of the most reliable.