You have to convert it 1st w/ amvtool into AMV format for your player to recognize it.
Get it from downloads section, install, then read this:
http://www.mympxplayer.com/viewtopic.php?t=32
(note, if you follow all directions, and file does not play, it could be a pta, asf, dmv, or other file format. Consult manual and look up file types).
I.