However, I discovered it is worth the effort to examine that small file with a hex-editor (such as HexEdit). Very often, the file contains the URL of the server that offers the (streaming) media file. Once you have obtained that information, most media players allow you to type in that URL and view the desired content after all -- not automatically, but with an acceptable amount of extra work.
I found it worked with a .vxw file containing an URL to an .wmv file, which I was able to play in Mplayer for OSX.

