After the file is saved using the Elgato software application, it is unreadable with the prompt that or the file is destroyed or the compression code is unknown.
Firstly, I would recommend checking the recording settings from within the application. Make sure to select a proper file format (AVI or MP4) and use the standard codecs available within.
If you need additional codecs, then install CCCP codecs: http://www.cccp-project.net/
To attempt a playback for the files, install VLC Media Player as it can play broken files as well: http://vlc-media-player.software.informer.com/
