Windows Media Player Hasn't ever had the Codecs to view Video other than wmv and mpeg. It retrieves the codecs from other video software you have installed on your computer.
What is the video extension? For example it should be myvideo.XXX where the XXX is the codec, if we know what that is we can probably point you to a place to DL the exact codec you need. Also as Bikerboy said, VLC Media Player plays literally every type of video file imaginable, so if you run into anything that won't play on WMP 10 you can just watch it on VLC Player if you need to.
Thanks for the reply Sno. Correction it's normally when I go to a website that had the video stream loaded. The video does not appear. Therefore, there is no extension. Thanks again.
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Lars