How to watch dowloaded anime 101:
First you need to realise that your going nowhere fast with windows media player, its junk for anime watching purposes.
Anime is usually found in one of the following 3 formats: RMVB, AVI, MKV. To play an RVMB file (which are usually small but lower quality) you will need Realplayer, just the basic free player will do, which you can download here.
http://www.real.com/realplayer/free-media-player
For the higer quality filetypes, i reccomend either Zoomplayer which is great if you wan to watch anime in the corner of the screen while you do something else due to its small menu area. Or VLC media player, which is a bit bigger than zoom player but is still fine for watching. ide actually reccomend VLC as zoomplayer is having trouble displaying subtitles these days.
http://www.videolan.org/vlc/
http://www.inmatrix.com/files/zoomplayer_download.shtml
IF you REALLY REALLY want to use windows media player (and even if you dont ide 100% reccomend this) you can get all the codecs youll ever need in the CCCP (combined community codec pack), its a codec package designed specifically to support anime filetypes (ittl even support the more obscure ones like OOG)
http://www.cccp-project.net/
All programs are free.