There are different reasons this could happen:
I'll just address software which may fix your problem.
Download and install the program K-Lite Codec Pack FULL:http://www.free-codecs.com/k_lite_codec_pack_download.htm
If it works, there are several settings you can find in the media player portion:
a) launch Fullscreen
b) Remember file or DVD position
If your PC is reasonably powerful do NOT check the H.264, MPEG2 and VC1 boxes. If it stutters when playing and your CPU is older, try enabling them to see if it helps as it uses the GPU in supported GPU's.