It does. But it's basically a file that just holds the audio and video portions (and subtitles and other things) together in one file. The actual audio and video streams are probably using codecs not supported by the PS3.
Use this: http://www.headbands.com/gspot/
I realize it says gspot and if you are over 12 years old, you might be wary of the link, but don't worry, it's completely safe.
It will tell you what audio and video codecs the file uses.
After finding out what codecs the file uses, you can determine which part the PS3 doesn't support (audio or video or both) and re-encode it to something the PS3 does support. Of course, I think that this is technically illegal according to Apple's EULA, but there should be plenty of information on how to do it on the web.
And this is actually one reason why I hate digital downloads. Hurray, I can play/watch something I bought only on things that the company I bought it from allows me to play/watch it on. No thanks, I'll stick to encoding my own DVDs/CDs DRM free.