Make sure that you have updates/installed Flash Player, Shockwave Player, and Quicktime, at a minimum. Also verify that your video drivers are up to date. These are just general guidelines.
What specific internet browser are you using and are there particular websites where this is happening?
I usually use Mozilla. I can play any video on youtube but, when I go to anything on Yahoo-news, video, trailers, the video will not play only the commercial.