Your media player lacks the codec to decode the file. So you may run into troubles when playing such non-supported files with Windows Media Player. That's why you need a codec pack for Windows Media Player.
You can check on this to download a codec pack for your player:
What is Codec Pack and is it Necessary for Windows Media Player?
Windows Media Player Invalid File Format Error Message
https://support.microsoft.com/en-us/kb/234019
Microsoft CorporationWindows Media Player does not support the file format or the codec of the media ... currently, but does provide support for the most common types of media files.
Invalid File Format - Microsoft Support
https://support.microsoft.com/en-us/kb/842183
Microsoft CorporationThis problem may occur if any one or more of the following conditions is true: Some of ... If Windows Media Player does not support the file format that you are using, contact the ... Microsoft supports MPEG4v3 files in .asf streaming format only.
Cannot play back the file. The format is not supported. (Error
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