Microsoft suggests the following help for this problem:

 

1. Open your Windows Media Player

2. Click 'File' (if you have WMP 10+ you may need to click the arrow in the top right hand corner to see this option)

3. Check that the Work Offline command on the File menu is not selected.

4. If you are using Windows Media Player 9 Series, click on 'Media Guide.

5. Click the Connect the Player link.

6. If you are still having problems click 'Tools' and then 'Options'.

7. Select 'Connect to the Internet'

 

For more information go to http://www.microsoft.com/windows/windowsmedia/download/AllDownloads.aspx?displang=en&qstechnology

If you believe that your Windows Media Player requires a security update please refer to the section - system requirements and follow the link for Windows Media Security Access