If you have the "K-Lite Codec Pack" installed you probably won't get those kind of messages, that you don't have the proper "Player" installed for a certain file.
There are different packs for XP, Vista and Win-7. Get the right one.
They are all FREE.
I keep all three on my Utilities CD and share them freely with my customers.
On the other hand, there are Flash Players specifically intended for use in I.E. or Firefox. You may just NOT have the right one for what you're trying to do.
I just install the latest version of "K-Like Codecs" and never worry about being able to 'Play' something. I have NO other players on my PC at all.