That typically happens when you receive a file that does not have an extension, so the OS doesn't know what it is. Select the file and choose File -> Get Info in the finder. What is shown in the Name & Extension field? If there is no extension, that's the problem. You would need to add an extension, though the problem is knowing what extension to add.
Yeah, Windows won't work any better if there's no extension. I was considering recommending VLC, as X423424X did, but wasn't sure if that would work without an extension. However, as that came to mind for both of us, it's worth a try.
Where did the video come from?