Which browser are you using? I looked at the source code on that page, and it seemed to me that they have chosen to only recognize MSIE, Opera, Macintosh, IE4 and Netscape 4 as "supported" browsers.
Also, looking at the js code for the video stream, it seems to reference a
Code:
mms://a988.v101995.c10199.e.vm.akamaistream.net/ . . .
Now they may change the "mms" to something else internally, but that's not a standard protocol.
So, bottom line, I suspect the problem is in what they deliver, not what you've installed.
Oh, a suggestion: Look at the "Plugger" test page
http://fredrik.hubbe.net/plugger/test.html
and try what's there. (Installing "plugger is also a good idea . . .)