You also need to check the file extension of the videos you have downloaded, so check properties and see what type of file they are..Also have the files been compressed by means of winzip or winrar. Not all downloads will play straight away on Media Player.
I usually find downloads are avi files which Media Player will accept but you may find the files are another type such as .bin.
A player which copes with most type of file is VLC player
http://www.download.com/VLC-Media-Player/3000- 13632_4-10267151.html