Interesting.... my brother developed a similar (perhaps the same) problem recently, too.
I'm sorry that I don't know the cause, but Media Player seems to be touchy with video-related programs. Have you installed any other media player or video capture/editing software lately? That may have thrown off the settings. The first thing I'd try is a fresh install of Media Player, along with getting all the media-related Updates that you may not yet have.
I am running win-xp-he OS. I use IE 6.0 browser and Media Player 9.0. When I click on a web page media clip, I get the following Error Message:
"Windows Media Player cannot find the specified file. Be sure the path is typed correctly. If it is, the file does not exist at the specified location, or the computer where the file is stored is offline."
My media player appears to be ok since it plays from other files. I have played media clips from the web site in the past. Any ideas?