If they're .rar files, all the files in the series, file 000, file 001, etc., need to be saved to your computer and opened/combined by double-clicking the first in the series. I you get an unknown file error, you'll need to download a program that recognizes .rar. I prefer 7Zip
Other video formats, like .mkv, can be played with vlc as they download. There's a tutorial here.
It may also be that the files in question are Premium, ie., over 1GB in size. You need to open the MU page and scroll down a little to see the reason.
The files on the forum are not necessarily intended for the mainsite, and don't have to conform to the mainsite standards of host or format. Many must be downloaded fully, or opened with vlc as they download, in order to view them. Any premium MU links should also have free links from another file host present as well.