Ok. Eu encontrei a solução para o meu problema -
link
These videos are 'hacked' videos that contain scripts which can be executed by WMP only. The purpose of this is to force you to be redirected to another site and/or to download some stuff in the background.
If you can't play them in WMP then it's a good sign meaning that your Windows and WMP are correctly patched with the latest security updates.
Anyway you should delete these videos as soon as possible because they may compromise the security of your computer if they are played in WMP.