Having some problems playing WMV from web sites, e.g. Settlement - at Geography at the Movies. WMP says it can't access the video file, a bit of playing around turns up that this is to do with proxy settings and streaming media. WMP has an option to configure proxy settings, but it appears to largely ignore what you enter in there - the only way I can access the video file is to turn off the proxy in the browser and set WMP to use browser proxy settings; if I configure the proxy in either the browser and use browser settings or configure it in WMP itself, it fails to connect.

Does anyone have a way around this, other than downloading the WMP file locally first?