It could be a setting with your firewall or some other security application
since some antivirus apps can also block such things. Usually, such sites
have FAQs and troubleshooters for such issues.
I certainly wouldn't advise running without a firewall but you may have to
change a setting. If you have a firewall, check its logs to see if it shows
having blocked something at the time you were experiencing the problem.
Beyond that, I can only recommend trying to contact tech support.
The site appears to be in some Nordic language, near as I can tell from one
of their messages, you also need to have cookies enabled, I also saw some
information about XP SP2 but I didn't understand it as it's not in English.
Also, if these films are not legally available there may be other issues as
Media Player has settings with regard to content to which you don't have the
rights. I can't say whether or not that's an issue here as I'm not familiar
with the site, the material being offered and I don't understand the
language in which they've posted information.