|All files have a thing called an extension. This is usually a dot and three letters after the file name, eg .mp4 or .wmv or .avi|
It would help if you told us the extension of the file with problems.
When you opened it in vlc player did it run?
If so then it might be a file type that Windows Media Player doesn't recognise.
Is there some particular reason why you want to use WMP rather than VLC?
Please come back and let us know how you got on.