windows media player cannot play file

Hi
Everytime I try to download a file from the internet onto windows media
player I keep getting the following error message.
Windows Media Player cannot play the file. If the file is located on the
Internet, connect to the Internet. If the file is located on a removable
storage card, insert the storage card.
I have windows xp and recently downloaded windows beta media player 11(which
looks very good by the way).
when I download a movie file media player loads and starts transitioning for
about 2 seconds then goes to ready. nothing happens even when I press play.
This all started when I upgraded my broadband package.
Someone out there Please Help Me.
Krisneo