Thanks Rowan.
I found this:
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Series
The information in this article applies to:
Microsoft Windows Media Player 9 Series for Windows XP
Microsoft Windows Media Services 9 Series
This article was previously published under Q329149
SUMMARY
Microsoft has removed all support for the HTTP Basic Authentication protocol for streaming media in the 9 Series platform components.
This decision was made because the Basic Authentication protocol sends the user credentials over the network without the use of any encryption. This means that malicious users can monitor network traffic and obtain user credentials in streaming scenarios, because none of the streaming media protocols support Secure Sockets Layer (SSL). The 9 Series platform components offer the Digest and Negotiate (NTLM/Kerberos) authentication protocols as a replacement for the inherently nonsecure HTTP Basic authentication protocol for streaming media.
For content that is served from a Web server (by means of a progressive download) using SSL (that is,
HTTPS://), you can still use HTTP Basic authentication with 9 Series components. SSL provides a layer of encryption to help protect the end user credentials even when HTTP Basic Authentication is used.
If SSL is not used on the Web server, make sure that Basic Authentication is not enabled. Otherwise, even if other authentication methods are enabled, the Player may still stop responding with the following error message:
Error: 0x80070005 -- Access Is Denied
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Just have to figure out where to unable the Basic Authentication thingy....