The whole video format situation couldn't be more confusing if it was intended as a practical joke. "Hey, let's create a file format with no compatibility standards, and pass out lots of files that may or may not work. And while we're at it, let's fill that salt shaker with sugar."
If you have an .mp3 audio file, you can be reasonably sure that it will play on any program or device that plays .mp3s. If you have a .jpg, you can view that photo in anything that can view .jpgs.
Not so with .avi, .mpeg, and other video file types. These aren't really video formats, but merely containers for data in other formats. These file types usually contain video data in one format (or codec) and audio data in another. For instance, you can have one .avi file with Motion.JPEG video and PCM audio, and another with XVID Mpeg-4 video and IMA-ADPCM audio. Fun, isn't it?
That's why one .avi file will play just fine in Windows Media Player, another will play the video but not audio (or visa versa), and another one not at all. And if your HDTV or Blu-ray player can play videos off a flash drive, it might succeed or fail on different files than will Windows Media Player.
So how do you find out what codecs a particular video file holds inside? The obvious thing to do is right-click the file, select Properties, and click the Details tab. That will tell you the length of the video, the resolution, and the video and audio bit rates. But not the codecs--vital information you may need to play that file. Maybe Microsoft is in on the practical joke.
Since Windows won't tell you a file's codec, you'll need a separate program to do this. I recommend AVIcodec. It's free and simple, if nothing fancy. Once you've got it installed, you can right-click an .avi or .mpeg file in Windows Explorer and select AVIcodec: detailed information to load it into the program. Oddly, this doesn't always work if AVIcodec is already running. But in that case, you can simply drag the file to the program. You can also drag .wmv files to AVIcodec to find out what's in them.