If you right click on the downloaded file and

  Giggle n' Bits 11:30 20 Jul 2004

select properties what type of file is is or maybe the place you downloaded from will tell you.
Maybe you need to have Quick Time or Real Player ?
If you open Windows Media player and open the folder/downloaded file it may play from there.

Ideally we need to know the name of the type of file.

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