Double-clicking on the icon for any video file should be all that you need to do to open it in your default video player (which, if you've not made any changes on your PC, will almost certainly be Windows Media Player).
However Windows Media Player doesn't recognise all video files. It might be better to download and install a decent (free) video player. This is the one which is most frequently recommended on here, in the technical press and on BBC technology programs:
http://www.videolan.org/vlc/
This is its nearest rival:
http://www.gomlab.com/eng/GMP_download.html
Chris