Strange that they would be using mpeg 5.
I would have said wmp 11 is only beta so there maybe issues with it, but if it happened with 10 also, it is probably your codecs.
However, you can do one of three things. Dr. Mike's suggestion is a good one. Alternatively, if you got the vid from here or another site, post the address here and I will look at it for you, or if you want download Avicodec. This tool will let you see what codec is required to view the file.
Download below
http://avicodec.duby.info/
Let us know if you need any further help. Without knowing the movie its difficult to know what the problem is!