I download movies to watch on windows media player and the picture doesn't show, only the sound or audio.

The movies you have downloaded are in a format Media Player does not recognise, and you need the necessary codecs to play these files. Install the K-Lite Codec Pack (free):

K-Lite Codec Pack (http://download.cnet.com/K-Lite-Mega-Codec-Pack/3000-13632_4-10794603.html)

Above will help resolve issue, just install with recommended settings

If the klite codec pack won't work you could give vlc media player a try it's real good at playing 99%of stuff