I downloaded a movie on Kazaa and it turned out to just be the sound from the movie (despite the fact that the file is huge). Two questions:
a) is there any possibility that the visual is just 'hiding' and I can bring it out by something?
b) when I try and delete it, it does that thing when it says the file is either in use or is write protected...how can I delete it?

If it's just the sound track, then there won't be any image.

If you can't delete it, it's probably because when it was played, it created a .TMP file in the system, as hte file would be too large to run fully in RAM.

You could try rebooting your OS and then deleting the files from your TEMP folder.
(I gather your using windows, so delete the files in C:\windows\temp)

Then see if you can delete the file.

It's most likely that you don't have the correct video decompression codec installed. Since you got it off Kazaa, it's very likely encoded using the DivX codec, which is not installed by default. Do a search for 'DivX' and install whatever comes up. Restart, and try again.