If you are trying to enter your username and password into the movie player, this will not work.
To play the videos you should first download them to your hard drive. To do this right click on the link, choose "Save Target As" and then save the file to your hard drive.
Once it has downloaded you can open the file directly from the folder you saved it.
To play files ending in AVI, you should use the DivX Player and open the file from within that. You can download the player from DivX.com.
To play WMV files you need to ensure you have Version 9 of Windows Media Player. You can download that from Microsoft.com.
The MPG files should play in most players.