1. Open Windows Media Player by

2. Start -à Programs à Windows Media Player 

3. On some system: Start -à Programs à accessories à Entertainment à Windows Media Player

4. Go to à Tools à Options

5. Go to à File Types

6. Check these two boxes:

   1. Windows Media Audio file ( wma )

   2. Windows Media Audio file ( wmv )

If they are not checked, it means “Windows Media Player” is not your default Player, and hence it can’t stream the file and you have to wait for the file to get downloaded

Check the snapshot below