Are you using the latest verion of direct x ?
1. How to find out what version you have
http://support.microsoft.com/kb/157730/
2. How to download & install direct x
http://support.microsoft.com/kb/179113/
Verify that you can play a media file that uses the same file name extension as the file that you were playing when you received the error message.
For additional information about file formats that Windows Media Player supports, click the following article number to view the article in the Microsoft Knowledge Base:
http://support.microsoft.com/kb/316992/
Windows Media Player multimedia file formats
If the other file plays correctly, the original file that you were trying to play may be damaged. If you receive an error message when you play both files, go to the next step.
Remove Windows Media Player, restart the computer, and then reinstall Windows Media Player. To remove Windows Media Player, follow these steps: Click Start, click Control Panel, and then double-click Add/Remove Programs ->Click Add/Remove Windows Components->Click to select Windows Media Player, and then click Next->Click Finish, and then close Add/Remove Programs.
You might have to reinstall directx after this