I suggest you to get the latest version of WMP and install it. Some web-sites use embedded WMP so you will need it most probably anyway.

Also if you take a look at our chart All streaming video recording software, you will see that not only MPlayer and VLC can play Windows Media streams, but also record them. Although I suggest to use WM Recorder or GetAsfStream when recording.

See Internet media players for the links to WMP, VLC, MPlayer