You probably do not have the right application to open the file is all that may be happening.
It would have been handy had you included the extension (.wmv for example) of these files.
Fire up Google and search for Flip4Mac. Go to the Microsoft (yes, Microsoft) and download the components for Quicktime.
This will enable you to view .wmv video files on your Mac.
While you are out searching, find Perian and download and install it. This will enable you to view other types of video that you would not normally be able to view.
Good luck, and let us know how you get on
P
I probably know the answer to this, but I'm going to try anyway. When I get emails with little videos of cute things, and download them by just hitting the link, then asking them to "open", I end with a whole page of computer "swearing". So, I'm assuming that it was from a PC and I can't get it. Right?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic