It might be caused by a missing plugin or you may have them turned off. If thats the case, normally you are prompted to install the plugin by your web browser. You can download and install the common ones; Java, Adobe and Windows Media Player
Ok, go to Tools>Manage Add Ons>Enable/Disable Add Ons
This should bring up a screen telling you what add ons/ActiveX controls you have installed and whether they are enabled or not. Which ones do you have and are they enabled?
If not as a last resort, you might want to try the reset feature in IE to reset all your current settings to default.
Do you have another web browser such as firefox (which I use over IE ) installed on your machine? You could use this to test to see if the clip plays in there.
EDIT - also could you link to the video file you are trying to open? So that i can tell what kind of file type it is. Thanks