DSL and Windows Media Player

I have media player 7.1 and prior 7.0 and 6.4. and windows 98. When I went from dial up to DSL the player will not open a video file (wmv) from a web site. What I get is ‘connecting’ and it just sits there. I can right click and save the file and play it from my hard drive, but not from the site.
Appreciate any help to solve this. Thanks