That happens to me ALL the time when I try to use Youtube, but if I just keep hitting the escape key and then re clicking on the link, it tends to work after a few tries. I'm not sure if you're talking about a video saved to your device, or one that you're watching from a website...
A list I found online says that the following ARE supported: *.avi / *.3gp / *.mp4 / *.mov / *.wmv but that the following are NOT supported:*. mpg / *.mpeg /*. vob (MPEG-2) / MPEG-4 Part 10 (H.264 / AVC) / MPEG-4 Part 2 (Advanced Simple Profile) / H.263+ / DivX 3 / DivX 5 and DivX 6 / XviD / *.3g2 (3GPP2) / *.wmv Windows Media Video (Main/Advanced Profile) / *.asf (Advanced Systems Format) /*.rm (Real Media)
Hope that helps!!