When Windows Media Player is not able to access files on the remote computer you get this error. Windows Media Player is very dependant on the system internet connection options, and also has some connection options of its own.

To correct the problem set Windows Media Player's option 'Connect to the internet (overrides other commands)'.

If that doesn't work, instead of clicking on the download link, right-click the mouse over it and select 'Save Target As' to save the file on your local computer and then open it. This will work every time.