Make sure you have installed the latest version of Windows Media Player.
Make sure you have performed all of your 'Windows Updates'.
'Pop-up Blocker' software will prevent the player windows from opening. Examples of 'pop-up' blocker software include the Google and Yahoo Toolbars, Zone Alarm, Norton Internet Security. Most 'pop-up blocker' software can be temporarily disable by holding down the <Crtl> key while you click on the listen link. MAC USERS - You can disable the pop-up blocker for just one window by holding down the control 'z' while clicking on the link.