Open Windows Media Player. Select Tools, then Options. Click on the Player tab. Make sure Connect to the Internet (overrides other commands) is checked.

Click on the Network tab and check RTSP/UDP, RTSP/RCP and HTTP.

If applicable, configure the proxy settings.

Click on the Performance tab and select the correct Connection speed. This is optional. 

 Open Internet Explorer. Select Tools, then Internet Options. Click on the Connections tab. If the Dial-up and Virtual Private Networks settings box is empty, click on Add.

Select Connect to the network via broadband.

Enter a name for the connection.

 When the Broadband Connection Settings window appears, click OK.

 Click Never dial a connection.

 If playback still doesn't work correctly, try each protocol individually. Just RTSP/UDP, or just RTSP/TCP or just HTTP.

 Firewall Information

Streaming Windows Media requires that these ports be open. There are 3 different types of streaming. UDP, TCP and HTTP. Windows Media will try each type unless it's setup not to.

UDP	554 5005
TCP	554
HTTP	80