That particular video is compressed using the Indeo 3.2 codec - I'm surprised it's not installed by default with media player on XP. But you can download this codec and others individually from here...
http://www.moviecodec.com/download/codecs.shtml
Or you could just download a big package of many different codecs from here...
http://www.moviecodec.com/download/codecpacks.shtml