Peter56, the file is probably a .avi file. Windows Media Player on Pocket PC only plays .wma files.
The best way to get your clip to play is:
If it is a .avi - load it into Windows Movie Maker (if you have WinME or XP) or your camera's movie software and convert it to .wma or .mpg/.mpeg. Then download PocketTV from click here - this plays .mpeg/.mpg files on Pocket PC.
If it is a .mpeg/.mpg just download and install Pocket TV.