According to HTC's Website, the TP2 supports:
Video supported formats WMV, ASF, MP4, 3GP, 3G2, M4V, AVI.
If it doesn't work in the regular WMP then you could also try viewing through the Photos and Video Tab.
HTC - Products - HTC Touch Pro2 - Specification
Maybe the videos you play are in too high a resolution for the TP2?