Downloaded files are MP4. You'll need some software to play MP4

I couldn't play MP4 with neither Windows Media Player nor RealPlayer.

The easiest way is to install a portable multimedia player, VLC v0.8.6d, to play them.

But if you want to use Windows Media Player to play them, you'll need to install some additional software.
FFDShow works for me on my Vista (Haali Media Splitter didn't work).

Please see the following link for the details:
http://www.afterdawn.com/guides/archive/how_to_play_mp4_files.cfm