This typically happens when file types are incorrectly associated on your PC. To correct this problem follow the steps below:
- Click "Tools" (from WMP Menu) and choose "Options".
- Choose the "File Types" tab.
- Make sure that top three boxes (related to asf, wma, and wmv file types) are fully checked.
- Confirm (Click "OK" or "Apply") and close all dialogs.
- Close or restart MS Media Player.
Please note, that this issue is typically caused by other media players (e.g. Real Player, Winamp, Quicktime, etc.) overwriting file type association every time they are launched. If this happens, you will need to repeat the steps above.
If you prefer to force your Windows Media Player to be permanently associated with Windows Media streaming, you will need to re-install your Windows Media Player.