I have run into that from time to time… Even in Linux you have the same issue... Most files will play flawlessly in VLC, but there's the odd one here and there that I run into that just will NOT play properly in VLC. Sure enough, if I open those particular files in Totem instead, they work just fine.
My guess would be that it's something in the encoding of the video itself that WMP just cannot work with properly.
