I have the same problem. I contacted the MS support team but didn't get anywhere with the person. I did everything as brian4xp did and have no solution to it.
When I go to the msn video page and click on a video another window pops up with the player in it and links to various videos. It appears to be loading the video but then a message comes up,
"the video you requested is not available"
This happens for any video I try to play, so I don't think it is just particular videos that are not accessible for whatever reason.
I clicked on help, made sure I was updated as far as Internet Explorer, Media Player, and Flash just as the instructions suggested, but still can't get a video to play. I checked on MS support knowledgebase,etc. but have not been able to find any other postings of this problem.
Any suggestions? (I'm running WinXP home, SP2, Windows firewall.)