Format not supported

I can download Adios and play them all day on windows media player 9, I am running windows xp home, but I can not play a video for anything I am trying to play lion king 2, and shrek 2, and the erorr message keeps saying {Cannot play back the file. The format is not supported} It took two days to download just one of the movies as slow as my connection is. Could you tell me what I need to look for or how I can get a supported format. Or if nothing else how can or can I move this file over to another media player that might have the supported format. Please help, it took to long to download just to delete it. Please reply this is way beyond my knowlege.
Thank Yo
Henry