The PC probably does not have the correct software to recognize the file type.
Ex. A dvd move has several dot vob files. If you copy these files to a USB stick, it will not atomatically come run. you would have to double click each individual file - and then you must also (in this case) have a program that can play a dot VOB file.
Their are many different video file formats such as .VOB and Mpeg and ect. - What specific file are you tring to play (PS .xxx is not a file type - LOL)