First, make sure you have a NEW WM9 PLAYER, not just the new codec as I find this causes problems. Download the entire newt Windows Media 9 Player at this location...

If you have a MAC/APPLE they make a WM9 player for you too.

Why do I use WM9? Because it is currently one of the best compression codec available.

Maybe your modem is too slow. Test your internet connect speed to determine exactly how fast your "dial-up" or "broadband" (cable, DSL) internet connection really is. Go to this link...

SPEED TEST

Select the test - IMAGE
Select the first Web host - TOAST.NET will do. Use the other free ones if you want.
Click on RUN TEST

What is your throughput?

If it is too low, call your provider to find out why. Maybe they can speed it up. Or, if you don't have broadband connection think about getting it. I know they overcharge but it is worth it. I have a cable modem now and I average between 1500-4000 kbps / 1.5 mbps to 4 mbps.

Are you trying to right click on the embedded windows and SAVE AS to download the file? Just let the video play in its own window on the page. It is set up to work best this way.