Very important note: Always in these thread give the type of machine, the OS including version, the browser and version and other useful information. Diagnosing computer problems without this information is hopeless.
I can tell you that JWPlayer is a Javascript program that like all Javascript is downloaded as part of that webpage to play the content on that webpage. You shouldn’t have to do anything.
Common causes of failure to properly load a webpage (including scripts) are:
Out of date browser.
Mucked up browser cache. Esp. if a web page changes how it does thing. Clear your cache.
You don’t download and install it. Web developers embed it in a web page so you can view their videos or listen to audio files on the web in a browser.
It’s probably a configuration error on NPR’s part. What is the URL to the web page and what browser do you use?