First, double-check that you have version 9 or newer of Windows Media Player. You can download the latest version. Older versions of Windows Media Player do not support the latest file formats and may not work properly. If you are using Netscape, you may need to re-install Windows Media Player for it to function properly.
Second, check that your Media Player is configured to use the TCP, UDP, and HTTP protocols. To check this open Windows Media Player, then click on Tools, then Options. Go to the Network tab and make sure that all of the protocols are allowed.