Seeing as how there seems to be no solution anywhere on the net for this, I
guess it's a good a time as any for my first post.
I had this same problem and I got around it by doing the following:
*in WMP go to Tools->Options->Network
*Under streaming proxy settings click on HTTP and then configure
*Switch it from "use proxy settings from web browser" to "Do not use a proxy
server"
*Click OK, and click OK again.
Now reopen the file and/or close and reopen the player, and voila should
work. What's funny is I don't use a proxy in my web browser settings but for
some reason it must've been trying to. This only happened sometime after I
installed WMP 10. For people that need to use a proxy the same as their web
browser, well then I'm not sure what to do, this is just what worked for me.
Anyways I hoped that helped someone out there cuz I know it was annoying me
all to hell.