If your media player gives you an error saying “Cannot playback stream” or something to that effect, it usually means that it can’t access your sound card. Check if you have other programs running that are using the sound card (such as games, other media players or sound editors), and close them.
If the problem persists, check if you have the proper codecs installed to play the file. As mentioned before, installing the K-Lite Mega Codec Pack should take care of nearly all codec problems. You could also try VLC Media Player to play the file—it can play almost any audio format.