If your PC is connected to the internet, but a specific program can't connect, the cause almost certainly lies with your firewall (which is denying access).
Go into your firewall's 'program settings'. You'll probably find that Windows Media Player is denied access to the internet. Simply follow the appropriate procedure to change the setting. (With Zone Alarm, click on the red cross and change it to a green tick. With some other firewalls you need to right-click on the barred program and select 'allow access').
Chris