QuickTime Player is the default movie player for Mac OS X and it works pretty well—as long as the movie you want to play is in one of QuickTime’s supported formats. If it’s not, then you’ll need a few extras.
If you want to play Windows Media, you’ll need Windows Media Components for QuickTime.
Perian is another plugin for QuickTime that not only lets you view a whole host of movie formats but lets you use these files in any program that is based on QuickTime, such as iMovie and iDVD.
The next time you get a movie file that you can’t open, don’t despair. Try installing the above programs and see if they help!