Most movies saved on the servers online are not compatible with windows media player since they are uploaded in different formats to decrease size and decrease uploading time. Common files like Mp4, .avi, rmvb, .mkv, etc....
If you want them to play using the windows media player, you'll need codecs like Klitemega codec packs, acemegacodec packs. You can download
Klite Mega codec Packs here. Download and install it, then restart your system and try playing the download movies.
If this doesn't help, you better use a player like Vlc Media player,
(click here to download), Install and run, you will be able to play any type of media using this player.
Good luck.
Thanks for using FixYa.