Had the issue myself of how to play .H264 video files from a CCTV DVR. It did come with a install CD but some how I can't get this to work anymore and needed to play some files back.
Found out from another post on a forum (sorry lost the reference) that VLC can play these but struggles with the default settings to choose the correct Demuxer. So, install VLC (opensource so go find it) and then see my picture of the settings below. Hope it helps you find it quicker than I did!