Solution:
Microsoft suggests that you first double-check the spelling of the file path or URL (uniform resource locator) of the media content to ensure that WMP is looking for the file in the right location.
If you tried to play the file by clicking a link on a Web page, the link on the page is incorrect. There is nothing you can do in this case, except contact the site administrator and request the correct link.
Finally, if you are playing an .ASX file and you typed the file path correctly, there is probably an incorrect file path or link embedded within the .ASX file. If this is the case, there is nothing you can do to fix the problem because the file itself contains a bad link.
Source: Microsoft Knowledge Base Article ID 234292
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