Windows media trouble

I’m running XP. When I try to open a ( like short clip of a product on the internet, I keep getting a window that tells me “Windows media cannot play this file.Connect to the internet( I’m on the internet at that time)or insert the removable media on which the file is located, and then try to play the file again”. can you tell me whats going on and how to correct it.
Anything will be appriciated. Fred