1. Open Windows Media Player.
2. Click "Tools"-> "Options".
3. Click the "Network" tab. Make sure all protocols are selected:

Multicast
UDP
TCP
HTTP

4. Make sure "Use ports to receive data" is unselected.
5. Go to the "Streaming proxy settings" area. Highlight "HTTP" and click "Configure".
6. Select "Autodetect proxy settings".
7. Click "OK".
8. Do the same for other protocols, such as "MMS" and "RTSP".
9. Click "OK".