Have problems watching the Video format that you just downloaded? Just give it a try, K-Lite Codec Pack. This is the best codec that I have tried so far. There are 3 version of of the K-Lite Codec Pack:
Download the K-Lite Codec here.
After you install, all kind of video format can be played except for Real Player format (e.g. *.rmvb). So what I normally do is to download it from www.download.com, just do a "Real Player" search. The reason I don't want to download from official real player website is because it mentions 14 days trial in the website. I have no idea why they want to do this. I thought real player is the freeware? Nevertheless, what I downloaded from download.com has no expired date so far. I have been using more than a year. It is completely free!
[Update: 19 Sept 2009]
I recently tried VLC media player and I found that it is better than K-Lite Codec. You no longer need to download Real Player anymore. You can check out my VLC review here.