Here's the fix that will allow you to rename a folder so that WMP can rebuild some of those necessary components:
To rename the Player networking information folder:
1. Close Windows Media Player completely.
2. Click Start, then select Run.
3. In the Run dialog box, type the following (exactly as shown):
%UserProfile%\Local Settings\Application Data\Microsoft\Windows Media
This step opens the following folder on your computer:
SystemDrive:\Documents and Settings\UserProfileName\Local Settings\Application Data\Microsoft\Windows Media
4. In this folder, rename the folder 10.0 to 10.0.bak
5. Start the Player and try to stream the content again.
Finally got it working
I have WMP 11
Under Tools, Options then Player tab. Had to check "Connect to the Internet (overrides other commands)"
If you are behind a hardware firewall (like work) goto the Network tab and unselect RTSP/UDP and RTSP/TCP. Leave HTTP selected.
