Yeah, I'm sure that I had downloaded the entire file. I even attempted to download the .avi files directly, from the site Axiverse posted on his thread, and exactly the same message came up.
When I click on the files, my comp tries to open them up with QuickTime Player. And I can't get them to work in Windows Media Player...
So don't open the files by double clicking them. Reassociate the file type with a different media player, or open the media player and then use the menu to pick the file to open.
VLC Media Player or Media Player Classic with a modern codec pack (like Satsuki or CCCP) will play nearly every file you can download on the internet nowadays. QuickTime and WMP don't come with very many codecs, and you have to spend more time downloading and installing individual codecs to make them work with many files distributed by fansubbers, so they're not very worthwhile to use.
I mainly use Satsuki Decoder Pack with MPC to play my files, and haven't found anything it can't play yet. I just don't use VLC because I can't access the interface in full-screen mode or stop and start videos with a mouse click, and since I output from a closed laptop to a TV for watching some videos, and use just an external mouse to control the video, VLC doesn't give me the interface I need to make it work easily.