When Windows Media Player connects to a Windows Media server the player tries to use the most efficient protocol for the job. However, the player is not always able to connect with the first protocol it tries. This is usually due to either a firewall issue or the version of the client and server that are being used together.
Below is a table that illustrates the possible connections that WMP can make to a WMS server. This does not mean that in some circumstances the player will not try a different protocol; this is just what is possible.