This is caused by Windows Media Player trying to automatically install a newer version of the codec needed to play the video. Before you click to watch the video, go to the Preferences (or Internet Options) dialog and set your browser's security to "Low." Then click to watch the video, and you should not get this error.

After you have watched the video, you can set your browser security back to "Medium" or "High" and watch all the videos you want since Windows Media Player will have properly installed the newer version of the codec.

Note: Please make sure to check with a parent, teacher, or adult in charge of the computer before downloading any software or changing any settings on your computer.