Streaming video problem

I am trying to play streaming video from a site that gives the below error msg, and I believe I have done as suggested in the below guide, to no avail. Does anyone have any other suggestions? It attempts to play the stream in a small video box within the webpage, (the windows media player does not pop up), at the bottom of the video screen it goes through the downloading, buffering, ready deal, but once it gets to ready it does not play, even if you press the play button. Any ideas would be appreciated. Thanks.

800C000D: The specified protocol is not supported
Windows Media Player does not support the protocol you are using to access the file. If you clicked a link on a Web page and received this error message, the link might not be valid. If you typed an Internet address and received this error message, ensure that you are using a protocol supported by Windows Media Player, and then try again.

A list of supported protocols and the correct syntax follows:
mms://server/filename (for example, a file with a .wma, .wmv, .asf, or .mp3 extension)
http://server/filename
mms://server/sami.asf?SAMI=http://server/sami/sami_demo.smi (SAMI file)
If Windows Media Player supports the protocol and you still cannot play the content, ensure that the Player is configured to use all of its supported protocols.
To configure protocol options
On the Tools menu, click Options, and then click the Network tab.
In the Streaming protocols area, select all the protocol check boxes.
Note

The supported protocols can be used only to stream digital media files. Windows Media Player cannot be used as a browser.