VLC player is your best bet, however if you should ever decide that you want your media playable in players such as WMP or Winamp; head to:
Check out the Video codec packs; the reason you get audio and not video is the proper codecs required to view the media aren't installed on your machine but you could however play audio. In most cases in WMP you would see a visualization while you hear the audio in the background;
Downloading and installing the video codec packs as many guys above me mentioned will resolve your issue.
Best of luck