Are they .avi files? I've had the reverse happen with some .avi files - sound but no picture when played on Media Player. What i did was download DivX from
http://www.divx.com
(it's free, and only about 3MB to download) and they play fine on there. I think it's something to do with codecs, but i'm not sure. The latest version of DivX is version 5.0.2 and i think it just comes with all the codecs you need because it didn't download any after i'd installed it. (i wasn't connected to the internet!)