Well first off, if you're downloading a rental from some website, they provide any information (and codecs, I assume) to view the movie. If you're not downloading it legally, this isn't the place to talk about it.

If you still can't view it, make sure you have the codecs to view the file. Try the k-lite codec pack. It's got just about everything I need. Configuring it can be a bitch, but everything usually works okay at default. Also, I'd reccomend media player classic over standard windows media player.

What is it they say about silence being golden?