I right clicked on the link that Majita posted and clicked "save as" - then it downloaded to hard disk. Once it's downloaded, I "right clicked" the 'windows media' icon that it appears as and clicked "open with...." then "windows media player".
The only reason I can think it didn't work is maybe you saved it as a different file and the file extension wasn't ".wmv". If you changed it, you need to rename the file to "(a name - ie. Lindsay video).wmv"
hope it helps,