Movies are encoded using the H.264 codec.
You need to download and install a H.264 codec on your computer.
http://www.videolan.org/developers/x264.html
Or.
https://www.mediaplayercodecpack.com/
The second link maybe the best option as the codecs are registered in windows.
You may have to select the codec first in sony vegas in the options settings as well.
Normally you have the codec set or installed on your pc do read the encoded file, and other codecs installed to export it to another output file standard based on the output codec chosen.
Codec is short for encode, decode.
And performs both those functions but must be installed on the system it`s self being used by any program such as sony vegas.
The second download link in the post installs all the common codecs used with windows and there various formats for encoding and decoding- Playback of video files output.