I think it has to do with how your mime types are assigned. I agree with the above sentiments regarding browsers: go to
www.mozilla.com and download Camino. Much better browser. If you have installed the latest version of WinMediaPlayer, it should fire up when you click on the link in the browser. If not, it might download a small file to your desktop (or other location if you've changed it in the browser prefs). You can take that icon and drag it onto the WinMediaPlayer icon and it should find the streaming file and play it (assuming it is a streaming video).
Didn't you buy that used Denis? Did it have a fresh install of the OS? That is the best way to start with an older machine. You never know what kind of nonsense the previous owner did (kinda like 911s...)