What you are missing is a codec. Its a peice of instruction that a video player needs in order to play videos.
Message to Xris "I've copied your guide since its so helpful"
9 timeout of 10, this is a codec problem. Very easy to fix.
i) Download ffdshow 2004-07-25
ii) Remove all previously installed codecs you have, and I mean all.
iii) Install ffdshow.
Just in case it wasn't clear, uninstall all previously installed codecs, they only clash and interfere with each other. You only need ffdshow.
If you don't like the idea of removing all your old codecs, then don't, you may be able to resolve the problem by just updating or installing to the latest ffdshow codec (but the general consensus is to just have the one codec installed, there will be less problems that way).
Look at the stickies in the Playback Help forum to find the latest version of ffdshow (see this thread).
Plus I would recommend downloading and using the latest version of Media Player Classic (2000/XP or 98/Me build)