Did your phone come with a disc to install with it? It's probably that your computer does not have the right codec to play the video format that your phone has..
You could try getting a good codec pack. I use one called K-Lite which has been brilliant and plays everything... There is also a good video player that others use called FLV or something like that.. People recommend using that as it plays just about everything.
You could also look up the phone model number in google along with "play video" and others may have had the same problem and can suggest what program or codec you need to play it.

Usually the phones installation CD will have everything you need on it if you got that.