What Media Player are you trying to get to work with it?
If you are using Windows media player open Windows Media player click Tools > Plug-ins > and make sure that MSN Messenger Music-Plugin is ticked.
If you are using Winamp you will need
This file to be able to let it work in Winamp. If you use a version of Windows before XP you will need to download
WinZip to be able to listen to that.
If you use any other media player, please specify to get specific advice for your problem.