There may be three separate things that need to be done to get this to work.
- Install codec necessary to decode the stream.
- Enable java for that web site
- Install the plug-in for the program that will play that type of media
There may be a windows protocol that you may also need to install support for.
If this website uses an ASP control instead of java, then it may not work in any case.
IMHO, any web-site that requires you to use iexplorer should not be patronized. Even if you are using windows.