One cause of this problem may be that you do not have the Windows Media Player 9 codec installed. This should install automatically, but if it does not, try installing it manually by downloading the codec from this location:

Windows Media 9 Codec

Another cause may be that you are behind a firewall and your Windows Media Player is not properly configured. Follow the instructions below to configure your player to accept HTTP streams:

Windows Media Player 7 or higher

1. Open Windows Media Player.
2. On the menu bar, select "Tools" and scroll down to "Options."
3. In Options, select the "Network" tab.
4. Under Protocols, uncheck "Multicast, UDP, and TCP." Only HTTP should be checked.
5. Then click "OK" to close this window, and "OK" again to close the Options window.

This should allow you to view around your firewall.