Save the file to your hard drive first and *then* try to play it back.  When
using a service like Hotmail the media file might want to try and use the
Media Bar in IE6 to play and not allow you to download the file directly.
Disabling the Media bar is a good idea...

To Disable the Media Bar...
Click the Media button (IE Toolbar button).  Then click Media Options in the
Media bar.  Goto Settings>>Uncheck "Play web media in the bar".

You may read more about the error at http://tinyurl.com/ytk39.