Why can't I watch videos with media player?

Everytime I try to watch a video from the internet that uses media player it starts to load and then stops and says "a network error has occured. Make sure your connected to the network and your proxy settings are correct". I am connected to the internet but I have no idea how to configure my proxy settings so I just put everything on detect automatically (On WMP and my internet options). This still doesn't work please help.