It sounds like your internet connection is being interrupted before your browser has managed to download the entire movie.
You can probably right-click on that movie and do either "open video in new tab" or "save video as...".
That will take you to this web address:
If you right-click on that link and say "save link as", you might get a more informative error message. If that file downloads correctly, you can use a program such as Windows Media Player on your computer to play that movie.
The movie plays fine for me, but my computer is in the same city where the Skyline web site computer is.
Hope this helps,