Download VLC instead. Plays everything with built-in codecs. BUT if you still want to stick with WMP, download CCCP or K-LITE codec pack, open and make sure you you turn the WMP as your default player so K LITE will recognize it quickly.
Simply, MP4 is a file format such as AVI which is a multi-container format. MP4 is also my favorite format: de-facto container for H264 hi-definition H264 file format which is also used in Blu ray.
(what do I know..I work in Hollywood)
VLC rocks. It really can play just about everything.