Hiya
When the error came up, there would be an Advanced Button. What was said in there?
Also, as CLMSS said, you may not have all the codecs. There are these from Microsoft:
http://www.microsoft.com/downloads/search.asp?
I can't search at work, seem to have restrictions, but if you put Windows Media Player in as Product and your OS, the date for the codecs is in Sept, so put it on Date order.
You may also want the latest DIVX:
www.divx.com/
Just install it, it will also install the Player, but don't associate DIVX files with it.
Also, as slipe said, what was the file extension?
Regards
eddie