Not stupid questions...!
Windows Media Player supports .WMV, .WMA, .MP3 (Windows Media Audio) and.....well, nothing else. Designed to play Windows Media, it does a good job at that, but that's about it.
For other media types, you need to look into
PocketTV or
PocketMVP in the event you want to play MPEG or Divx video. No player for Pocket PC supports QuickTime that I am aware of, and Real has a functional, but bug ridden, player for Real audio and video.
ActiveSync does nothing as far as compression when you transfer video to the Pocket PC. Any files you want to play on the device should be formatted especially for the screen size, otherwise you will end up with a lot of stuttering, unusable video on it. Look to one of the video tools like Pinnacle Studio 8, or a recent fave of Jason Dunn's over at PocketPC Thoughts,
muvee Auto Producer.
Movie downloads.....try
PocketMatrix