EXPERT ADVICE PLEASE - computer window players error message!!!!?

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Feb 6, 2009
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I get this message whenever I try to play video with any players,

Windows Media Player cannot play the file because the specified protocol is not supported. If you typed a URL in the Open URL dialog box, try using a different transport protocol (for example, "http:" or "rtsp:").

What does this mean?

And what do I need to download??

I need an expert advice please.

Thanks!!!
 
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