The complete message is:

0xC00D10B3: Windows Media Player cannot play this file. Connect to the Internet or insert the removable media on which the file is located, and then try to play the file again.

If Windows Media Player 9 Series cannot detect if the player is connected to a network, you will experience this problem, even if your browser is set to Work Offline.

To workaround this behavior, use the players Tools menu and press Options. On the Player tab, check the Connect to the Internet (overrides other commands), which is under Player settings.

NOTE: This option causes features which require an Internet connection to always connect when the computer is online.