The object invoked has disconnected from its clients

My friend made a movie out of the pictures that we took during our last outing using Window Movie Maker 2.6, and he sent the movie to me through email.
I downloaded the attachment and saved it on my desktop but whenever I try to play it I get this error message: "The object invoked has disconnected from its clients ."
The file format is .wmv. Any help would be greatly appreciated.
Here's the error:

