First, check the file format to make sure it's compatible with Miro.

 if you're on Windows, that it would play in VLC, and if you're on a Mac, that it would play on QuickTime. 

Second, check the file format of what you downloaded to make sure it's a video - the publisher might have put out some audio files (for example, .mp3 files), which of course do not include video. 

Third, check the size of the file you downloaded to ensure that it's not zero.