Windows Media Player

I was tring to play some links to debates off of a website. I get the following message-

"Windows Media Player cannot play the file. If the file is on another computer, verify that you are connected to the network. If you typed a path, verify that it is correct. If the problem persists, the server might not be available."

and/or it goes to the Media Player website library looking for the file. They are in MP3 format.

Seems to be the same in Real Player.

I have to download the file to play it.

Any Ideas!