Read Bill Hunt on a file type as WRAPPER http://forums.adobe.com/thread/440037?tstart=0
What is a CODEC... a Primer http://forums.adobe.com/thread/546811?tstart=0
What CODEC is INSIDE that file? http://forums.adobe.com/thread/440037?tstart=0
Read Harm on drive setup http://forums.adobe.com/thread/662972?tstart=0
- click the embedded picture in Harm's message to enlarge to reading size
- you need AT LEAST 2 drives for video editing, 3 is better
Work through all of the steps (ideas) listed at http://ppro.wikia.com/wiki/Troubleshooting
If your problem isn't fixed after you follow all of the steps, report back with ALL OF THE DETAILS asked for in the FINALLY section, the questions at the end of the troubleshooting link... most especially the codec used... see Question 1
It really helps if you give a lot more information about your computer, operating system, et cetera when asking a question.
If this is the issue that I suspect that it is, try this:
Restart your computer and log in using the root user account. Once you are logged in as root, restart Premiere Pro and then try playing of the sort that was failing for you. If it works, then restart using your regular user account and then restart Premiere Pro and try again.
For information on logging in with the root user account, see the Apple documentation, located here.