I usually rely on CNN, and the first few times I tried Fox News it failed miserably...the page rendered incorrectly and no video appeared. I ended up getting it to work, however, with a rather bothersome process:
* Close Internet Explorer.
* Uninstall Flash player in Add/Remove Programs.
* Delete the foxnews.com ActiveX control.
* Reboot.
* Visit foxnews.com.
* Click on a link to view a video.
* When prompted, click to accept the ActiveX control.
* When prompted, click to install Flash Player.
So far foxnews.com is the only site I have had that problem with and I don't know what the source is, but I suspect it stems from their usage of ActiveX controls, which most other sites have backed away from as a result of security concerns and limited compatibility (with Firefox, for instance). I don't know if the above will work for you, but it's definitely a site compatibility issue.
John