VLC, as Kalas suggested, includes the popular audio & video codecs, so this will have a better chance of playing your downloaded video than players that rely on suitable directshow codecs to be present (e.g. Windows Media Player).
VideoLAN (VLC) can be downloaded from the following link:
If you prefer using another media player, try getting the FFDShow package, which installs DirectShow codecs for a wide range of video codecs such as XviD, DivX 3/4/5, H264, etc.
FFDShow can be downloaded from the following link: