Windows Media Player files (almost all UTMB web video) won’t play on an out-of-the-box Mac. Luckily, 2 or 3 free downloads will fix that, automagically:

http://www.videolan.org/vlc/ (This should do it, if not, proceed…)

http://perian.org/

http://dynamic.telestream.net/downloads/download-flip4macwmv.htm