Can't play .mp3s when linked

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Running Windows XP, Media Player 11.
When I receive a link to an .mp3 in an e-mail, or there is a link on a
website that takes me to an .mp3, Windows Media Player simply does nothing.
The file name with the .mp3 extension shows in my Windows Explorer browser
bar at the top, but nothing happens. Have no problems playing .mp3 files
already on my computer, or downloading them from music sites. Just can't hear
them when I get the link in e-mail, or a link on a site that takes me
somewhere else. I'm not totally techno-phobic, but not a computer wiz either.
Tried updating on MS Windows Media Player, Microsoft says I have all the
updates I need.
.

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