This is caused by Windows Media Player trying to automatically install a newer version of the codec needed to play the video.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

After you've watched the content, 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.