A.wvx is not a video file. Rather it is a very short text file written
in xml format that is known as a playlist or redirector file. It often
is used even for only one video rather than multiple videos in a
playlist. One reason for doing this is so the video starts streaming
soon after downloading starts rather than having to wait until the
entire video is downloaded to the temporary cache of your browser
(progressivbe download). The wmv video that the wvx points to must
either be at some local address on your computer or some place on the
web to which the url points in the wvx file.

For a wvx file that is on your computer, you can read it by right
clicking the icon for it and opening into notepad. Then make sure that
there is a wmv on your computer or on a web page at the location
pointed to. In short, you can not play a wvx file, it just tells you
where to go to find a video to play. And if the wmv pointed to is on a
webpage you must have web access turned on.

Personally I use Zone Alarm, and on some PCs I use windows firewall
(mostly XP boxes)

Perhaps given the lack of support you might want to consider a
different firewall which integrates better with (let's face it) pretty
standard internet applications like IE, rather than blocking them
silently <g>

Typically in Internet Explorer I'd setup High zone security, then
allow exceptions for connection - those settings also affect medfia
player which shares IE's zone based system.

HTH
Cheers - Neil
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Digital Media MVP : 2004-2008
http://mvp.support.microsoft.com/mvpfaqs