Everything you look at on the internet has to be downloaded to your computer first.
With a video it can start playing when only a section of it has been downloaded, and the rest carries on downloading while you are watching it.
The problem is (as scotman says) is that you may be watching it faster than you can download it.
Solutions are:
1) Get a faster broadband.
2) Watch it at a quieter time (the internet is busier in the evenings and weekends than at other times).
3) Download it all first before watching it (iplayer allows this), or maybe let it start downloading but dont start watching it for say 30 seconds. Then drag the slider back to the start and begin watching it then.