First, make sure the settings are correct on your sound card or audio device. Does the wmp play any other audio or video files correctly?
Does the error give you any numbers or error codes?
It could be a problem with a codec, so you can make sure to configure the Player to download codecs automatically, on the Tools menu, click Options, click the Player tab, and then select the Download codecs automatically check box.
Also make sure your firewall or virus software allows WMP access to the internet.
As a last resort, you can try resetting the drm folder: Microsoft Help
There is futher WMP help at Microsoft.com