Can't play media from the internet...?

K, what have I done wrong? I can't play any kind of streaming mpeg media from the web... If I click on a media ling (For example, wwwsomesillyvideolike/this.mpg it comes back as a

"The page cannot be displayed
The page you are looking for is currently unavailable. The Web site might be experiencing technical difficulties, or you may need to adjust your browser settings... blah, blah, blah"

What have I screwed up here, and how can I fix it?

Thanks,

-Anth

Have a look in options/connections and see if use a proxy server or use browser proxy settings is checked. Uncheck it/them. The details differ a bit depending on which player you have installed but select the options that simply allow the player to connect to the net on its own.