Each movie is protected by Microsoft PlayReady DRM. The PNY Movie Player unlocks this DRM and allows you to view the movie. If you try and play the movie through separate software it is unlikely to work.
On a Mac you can open your downloads directory and run the PNY Movie Player using the icon.
On a PC you can double click the shortcut on your desktop or select the PNY Movie Player from the list of programs on your Start Menu.