If you're connected to the Internet using a standard dial-up telephone line, you'll need to right-click on the link, choose "Save Target As", and download to your hard drive before playing.  Depending on the file size and the speed of your connection, the video files can take from 5 to 30 minutes to download.

The videos require the Windows Media Player.   Most PC's already have this player installed.
If you need the player, click here to download from Microsoft  (this is a large 13MB download)