i have a solution to this problem, first, sir darkstar was right, sometimes an incomplete download will cause this so try downloading again but if that does'nt work for me then i use a programme called 'x video converter' and the trick is instead of converting your vid, lets say from mpeg to avi, you tell it to convert into the same, ie= mpeg into mpeg, this gives it an ending and that allows you then to skip forwrd and so on,
this method has worked for me, but now the problem is i cant tell you where to get the programme, i got it free from somewhere, i've tried this site-
http://www.xvideoconverter.com/
which i found in he help section but where is the programme?
but this method should work with other converters maybe,
hope this helps.
edit-sorry markino this was not intended for you but as a solution for original poster to get the vid to behave properly.