You don't have to watch the videos, you just have to let them load fully. It doesn't work as an mp3 because mp3 is an audio format. You need to save them in the correct format to have Windows Media Player be able to recognise them.

Try renaming the mp3 file to have an extension of well known video formats, like .avi, .mpg, etc.

You can download a program called GSpot to identify exactly what format it should be, if you get stuck guessing.