I recently had issues with streaming media in WMP11 myself.
Are you using IE7 to connect? Did you install proprietary software (from the media provider)?
Assuming it's WMP11, let's start with settings in the player. Open WMP, click "now playing" tab, select "more options" from the dropdown menu. Select "network" from the tabs and be sure "Allow the player to receive multi-cast streams" is checked. Apply. Then click 'HTTP' in the list and click 'configure'. Select 'use proxy settings of the web browser', click Ok. Apply. Then click 'RTSP', click 'configure', and select 'Do not use a proxy server'. Apply. (If you Are going through a proxy, please let me know--we'll allow for it.) Check RTSP/UDP. Apply.
Next click 'File Types' tab, click 'select all', Apply.
Click 'Security'. Check 'Run script commands and rich media streams when the player is in a web page'. Apply.
Close the player and see if it runs.
There are lots of ways WMP11 can get broken. If this doesn't fix it, we'll go for the next thing.
Do you have XP, MCE, Vista--or an older or alternative OS?
What AV / Firewall software are you running?
If you're behind a router, have you allowed the required port(s)?
Sometimes .dlls get broken/deleted/altered or require re-registering. This can be done with some simple instructions.
