You are probably missing codecs:
wmplugins.com
You might want to upgrade to Windows Media Player 10, as it has a few more built-in codecs and is also much nicer and better than Windows Media Player 9. This can be downloaded from
Microsoft.com.
Nevertheless, here are a few codecs:
Divx (AVI)
XVid (AVI)
SVCD
SMR
Also, look at the
FourCC.
You can also check your system for codecs via
The Codec Sherlock.