Why do I only get Audio Playback with certain Media files?

You are probably missing a Video Decoder (codec) that is being used by the file you are trying to play. If this is a WMV file, try playing it with Media Player, it should download the codec for you and after that Zoom Player should be able to play the file. If this is an AVI file then most likely you're missing the DivX or XviD codecs which can be downloaded here.