Streaming video does not work

I canont get streaming video to work and I cannot even determine where to
look for help. I am clicking on the following link:
http://www.wnyc.org/stream/am.asx

That stream should play in Windows Media Player (I would think). Media
Player opens, and a dialog box which says that "Windows Media Player cannot
play any items in the playlist..." appears. There is a button called "Web
Help"; the stream does not play.

I have clicked the button which says Web Help and it takes me to a useless
web page which gives me a bunch of generic reasons why the stream might not
work, but does not tell me why this stream is not working.

The web page provides me links for Troubleshooting WMP and FAQs about WMP
which is just a mass of information and I have no idea what I am looking for.

Can someone help me get the above stream to work? Can you also explain why
it's not working so I can solve these problems myself in the future?

Thanks,
-Jeff
.

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