IE8 says "internet explorer cannot display the webpage" for video

I have noticed that in IE8 when I click on some video links that I get a new
IE 8 browser window that then it displays the message "Internet Explorer
cannot display the webpage". There is a "Diagnose Connection Problems"
button and a "More Information" drop down link... when I try to diagnose the
problem it is not able to figure anything out...

I am able to right click on the video link and do "Save Target As" and then
save the video to the hard drive... I am also able to use Firefox and click
on the video link

As an example I have issues trying to view the video file links on the
Fallout 3 website (wmv links):

http://fallout.bethsoft.com/eng/downloads/videos.html

Any idea why this is happening? It is really annoying and poor behavior
especially since Firefox works with no issues.

 

Troubleshooting Steps
Step 1: Change Your Settings in Internet Explorer
Follow these steps to enable custom settings for how Windows handles video
playback:
1. Open Control Panel.
2. Click Programs.
3. Click Default Programs.
4. Click Set program access and computer defaults.
5. In the resulting dialog box, click to expand the Custom section.
6. Under Choose a default media player, click Windows Media Player, and then
click OK.
7. Restart Internet Explorer.

Step 2: Change Your Media Player Settings
Follow these steps to ensure that Windows Media Player is set to allow
multicast streams:
1. Start Media Player.
2. Press ALT+T, and then click Options.
3. Click the Network tab.
4. Under Multicast Streams, make sure that the Allow the player to receive
multicast streams check box is selected.

Troubleshooting Steps
Step 1: Change Your Settings in Internet Explorer
Follow these steps to enable custom settings for how Windows handles video
playback:
1. Open Control Panel.
2. Click Programs.
3. Click Default Programs.
4. Click Set program access and computer defaults.
5. In the resulting dialog box, click to expand the Custom section.
6. Under Choose a default media player, click Windows Media Player, and then
click OK.
7. Restart Internet Explorer.

Step 2: Change Your Media Player Settings
Follow these steps to ensure that Windows Media Player is set to allow
multicast streams:
1. Start Media Player.
2. Press ALT+T, and then click Options.
3. Click the Network tab.
4. Under Multicast Streams, make sure that the Allow the player to receive
multicast streams check box is selected.