It’s all in the OP.
I know if they’re on a Microsoft (or their affillates) site, then they deliberately don’t let you play them in a non IE browser.
But there may also be an extension you have that is interfering somehow.
There are a lot of things that can go awry, but first I’d run your computer’s version of Media Player (there can be several, depending on what OS and software you have installed. You may even have a non-MS version call ed Media Player Classic) And enter the file’s URL. If that works, make sure you have Firefox set to “Open with this application” for WMV, etc.
If your copy of Media Player won’t play the files you want, you may need to download an upgrade or alternative version.