If they aren't zip, you more then likely will need the correct codec or player, otherwise it won't play unless of course it is supported by your current Windows Media Payer.
If you can't unzip, you need winrar ( found here
http://www.rarlab.com/download.htm ) then you should be able to unzip it.
The best player for most downloads, movie wise, is VideoLan (VLC media player) which can be downloaded via here (
http://www.videolan.org/vlc/ ) it has codecs already included in the software and plays everything from DVD's to avi's. PLus it doesn't eat your virtual memory like alot of players out there.