You need certain software to play back the video stream of the file, called a codec. Which software you need depends on which software the video was encoded with. When you get the error-message there should be button marked mor information or something, giving you a four character code (like "DX50"). enter this information into google, and you'll know which codec to download.
If the error message doesn't have a "more info" button, you could download virtualdub (
http://www.virtualdub.org/ ) and open the file in that. If it doesn't open the error message will give you the code, if it does open (which would be weird), you can find the code under file> file information.