What video format are you trying to download and what video player are you using to play it.
Formats = mpg avi
players = windows media player, Real [layer, Quick time,
I suspect that what you require is something called a codec so your video player recognises the kind of file you are trying to download.
Klite codec pack (click on the blue link) will have what you need and includes a player
VLC is a player that will play almost every type of video file.