I would double check the options in your player to see if something is wrong..
Within windows Media Player, click tools, options, and then check the player tab, Make sure enable automatic codec download is checked, also check to see if acquire licenses automatically is checked, then you might want to check the network tab and make sure all of the protocols are checked.

Next you might want to see if your internet security settings are interferring with your ability to play media from links.
The last two things I would check would be any antivirus software that is set too strict causing the links to not work, as well as any firewall, either XP's internal, or a thirdparty or hardware based firewall. If you have any of those try to disable them as well.
Keep us posted.
BB