You should convert all the movies you want to broadcast into WMV format.
No, you don't have to pay any money for any software. You can do it
with the Free! with Windows Media Encoder 9 series. Click
here to goto the
Microsoft Windows Media Encoder Main page. Or
here if you directly want
to goto the download page if you are using Windows XP 32Bit or Windows
Vista 32Bit (The most common operating systems). Or
here if you directly want
to goto the download page if you are using Windows XP 64Bit or Windows
Vista 64Bit.
After installing goto Start->Windows Media->Windows Media Encoder and then select "Convert A File"
If you are unable to broadcast any movie you should convert it to WMV format. Sometimes movie files
are falsely named something.wmv when they are some other format inside them. They won't run. So you have to convert those files too.