Windows Media Player is useful for organising audio files but it's rubbish when it comes to watching videos. It frequently can't find the right codec, which results in it either refusing to play the video or alternatively (as in your case) playing only the audio.
Download a (free) much better video player. This is the one which is most frequently recommended here on AB (as well as by BBC technology programmes, on Radio 4 and World Service):
http://www.videolan.org/vlc/
This is also very good:
http://www.gomlab.com/eng/
Chris