unfrotunately whoever made the video didn't do it properly, what they have sent you is bascially a file that contains the info for the files and transitions etc that have been used and what has been done to them to make them into a video
what you need to do is get them to export it into a video file, it will take a couple of hours depending on the lenth and quality but that is what needs to be done for you to view the video
what they need to do is open up the file they've sent you with windows movie maker, then go to file> save movie file
this will give them the options on quality to render it as, location to save it to etc