Depending on the download method, it might be missing headers on the front or end of the file and otherwise wont play in mplayer until those parts are downloaded. With .AVI the front portion needs content before it can play. For .MP4 type content the back portion. At least that's my experience. Although normally if it can't be played in mplayer, most other apps also fail. You might try -cache 2048 or similar and see if that helps, to load more of the file before trying to figure the file out. You could also have an outdated version, or old .DLL's for codec stuff. VLC might play it, ffplay might play it, and other things depending on versioning.
mplayer -monitoraspect 1.6 -ao alsa -vo xv -alang en -geometry 0:0:0:0 -lavdopts skiploopfilter=all <media>
Tis what I currently use most of the time. +/- -cache # / -nocache or -vf scale,pp=al -zoom -x # -y # or -idx / -forceidx and other options depending on how hosed my media is, versus my video driver, versus whatever other limits (resolution / cpu / ???).