Very often its down to what type of signal the website sends out, if the website is not kept up to date(or written in un-compatible source code) the codec or type of file may be sent out specifying an older version af WMP, older versions have less in the way of copyright protection and are used to keep costs down on the broadcast side.
You cant really change this without downloading the files and watching on a seperate media player (Most older WMP file formats have a right click 'save as' option)