open lnk file on macbook air

A file with the extension .lnk is a shortcut in Windows. It doesn't contain a video or other data in itself, so you've not lost anything by being unable to open it. Instead, on the PC whence it came, it would have pointed to an actual video or other file—which may or may not have had the same name, and could have been in a different folder. It's this original file you need!

If it helps, you can retrieve the name and location of the original file – or, at least, where it used to be on the PC – by opening the .lnk file in a text editor. For example, right-click it and choose Open With > Other and double-click TextEdit in the Applications folder. Much of it will be meaningless but you should find a Windows path like C:\Users\John\Example.m4v, in which case you know the file you're actually looking for is Example.m4v.