This sounds like the data in the movie file is encoded in something other than DivX. As far as I am aware, Windows Media Player doesn't give you an option to find out what codec is used, so you're pretty much on your own if you want to get this to work.
The obvious suggestion (obvious after asking an MS-Windows question on a Linux forum) is to use Linux, which has much fewer problems with hiding information from the user. Or at least use free (as in speech) software to play the file; try paying a visit to www.mplayerhq.hu
to get a media player that actually works most of the time. I think it's even ported to MS-Windows.