It could be a connectivity issue, or a codec issue.
When possible, instead of just clicking on a media link [in your web browser], right-click the link and choose "Save As...". By downloading the media, you'll have access to repeated viewing, and you can rule out the connectivity issue.
If the media you're after does not include a downloadable link, or you're having problems playing a media file already stored on your hard drive, you may need an additional codec. DivX and XVid are two very common ones that are good [and free] to install. Go to Divx.com and download it.