Video Files Disappearing

I attempted to play a video file from my external drive. It was a wmv file. Upon trying to play this video the thumbnail disappeared and the following message appeared "The movie “Movie Name” can’t be opened because the file is not in a format that QuickTime Player understands. The file may be damaged or may not be a movie file that is compatible with Quicktime Player." When I click "OK" the video file is suddenly deleted. I have Flip4Mac installed and other wmv files have played perfectly. Why are my videos being automatically deleted? Is there any way to prevent this or recover them? Please help.