The media module doesn't have a "player".  It relies on the client (you and your web browser) to have a media plugin of some kind already installed on your computer.  For example, if a WMV file is specified, you need Windows Media player installed, or another media player that will render WMV files in the web browser.  I personally test the module in Firefox regularly.

That being said, there is room here for you to have a use case where the media won't play due to a rendering bug in the code that the module emits.  Please respond with more details about the file you're trying to play, the browser version, the operating system you're on, and anything else you feel is relevant.