Apparently what you've downloaded from "you send it" is not the complete video file. The file must point to a server on the Internet. Disconnect yourself from the Internet and try playing the video in QuickTime or Windows Media Player without placing it in InDesign.
What file format is the file you downloaded?
The file format is .mp4 so it should run fine within Indesign.
Does it only do this on you send it?
Yes, I place MP4 files in InDesign all the time and have never gotten that message.
Try the test of running it as a video outside of InDesign as I wrote up above.