Windows Media Player won't download

I am running Windows XP.  Suddenly when I try to download a video I get this message:

 

Windows Media Player cannot play the file. If the file is on another computer, verify that you are connected to the network. If you typed a path, verify that it is correct. If the problem persists, the server might not be available.

 

I have tried all of the suggestions provided by Media Player and nothing works.  I know I am connected to the internet, I know the path is correct, and I have tired downloading from several sites, all with the same result.  Any idea what is causing the problem?