Make sure that, on the File menu, the Work Offline command is not selected. Also, you can make the Player connect to the Internet by doing the following:

1. On the Tools menu, click Options.

2. In the Player tab, select the Connect to the Internet (overrides other commands) check box.

If the problem continues, run the Internet Connection Wizard by doing the following:

1. Click Start, click Run, and then type icwconn1.exe.

2. Click OK.

If you have Windows Media Player 7 installed, for more information about troubleshooting an Internet connection, in the Microsoft Knowledge Base, see article 272487, "Windows Media Player 7 Does Not Recognize a Connection to the Internet."

Source: microsoft.com