You might run the Microsoft fix-it as well as read over and try the options to reset, reinstall, etc. MS IE that can be found in
KB318378
If that doesn't fix it then we need more information...
Are you running IE 8 or IE 9 ? Are you running the 32-bit version of IE or the 64-bit version?
Videos are played using plug-ins...
Have you checked to make sure you have the latest flash player installed? Is the latest Silverlight installed, if the videos you are trying to play use that?