I had this same problem.
Go to the start menu (windows icon) and type in 'firewall' in start search.
Windows firewall with advanced security should be the first option, open it.
When it opens on the right hand side chose new rule. Add a program and then browse to the windows media player exe file (probably c:\program files\ windows media player \ wmplayer.exe). Then go through the process and allow it inbound connects all the time.
You can also try; on the left hand side of the firewall screen go to inbound rules. In the middle of the page a huge list of programs are listed. Scroll down and make sure that all windows media player related files are allowed inbound connections (it will say 'allow')
It worked for me, so I hope it does for you.