thats definitly a codec problem. WMP will display the eye candy when it cannot display the video. Find the file, right click it and go Properties, go to the "Summary" tab and make sure "Advanced" is turned on. Look for "Video Compression" to see what codec you need. There are alot out there with different characteristics, though most common is DivX and XVid. If its on the web that this is happening, then the admin of the site should have posted somewhere which codec they used and where to get it.
Install the codec and even without restart, the video should show fine.
Another alternative is to turn on Codec Downloading in the WMP configuration options.