My media player wont play a downloaded wmv file. help!!!!!?

i downloaded a wmv file from adult empire and they said it would be mine to keep and put it on a hard drive and take with me and was meant to be played on windows media player. it will try play on media player and then say a error has occured. but my media center plays it fine. wth is goin on?? media player player plays other wmv files fine.