App?
Also, what application are you using to view these? Media player, Real player, Quicktime, Divx, etc?
WMVs and MPegs should run OK. AVIs tend to have problems at times. If it's an AVI, it could be one of two problems.
You may need up-to-date codecs.
The file could be damaged. You can check if it's damaged bu downloading GSPOT, installing it and checking the file.