Very weird, but yes, WMP and windows XP in general tends not to have many codecs installed. What you could do is download VLC player, which comes with its own compressed (and therefore, not the best quality, but you might not notice their not terrible) codecs and will be able to play virtually anything.
OR
You could download a codec pack, I know k-Lite mega pack will provide WMP with the necessary codecs to play pretty much everything, I just tried it. If you do chose K-Lite mega codec pack, you would chose the appropriate selection (Lots of stuff, View only, Viewing and compiling, Lots of stuff with Media Player Classic...), all you really need to play media on WMP is the viewing one, but you will not be able to create, convert, or edit videos using K-Lite's codecs while lots of stuff should give you the complete package. Media Player Classic is a small optional media player you can install along with the codecs. I personally love MPC, it can, of course, open (via directshow) any media file you have codecs for, which should be 99% excluding weird ones like nintendo GBA and NDS formats.