Ensure that you have Windows Media Player installed on your computer.

If/When installed, open an Internet Explorer window.

Click on Tools > Internet Options > Security tab > Custom Level

Scroll down the list and find "Automatic Prompting for ActiveX controls".  Make sure this is set to Enabled.
Scroll down the list and find "Download signed ActiveX controls".  Make sure this is set to Enabled.
Scroll down the list and find "Run ActiveX controls and plug-ins".  Make sure this is set to Enabled.
Scroll down the list and find "Automatic prompting for file downloads".  Make sure this is set to Enabled.

After these settings are set, allow a bit of time for the movie to download.  Depending on your internet connection, some may take longer than others.

Thanks.