Windows Media player will result in the error I mentioned above ( Windows Media Video 9 (WMV3) codec is not installed )
That is the problem here indeed, for some reason you don't have the standard wm vid 9 codec. If you don't get the videos to play in the windows media player, you won't get them to play in the game. I'll look around a bit on google, see if I can find a decent codec pack for you.
