You will need Flash Player to stream the movies directly from this website. Flash player is available from the Adobe website.
The documentaries on this site are also available for download in AVI format. To play these files in Windows Media Player, please download and install ffdshow tryouts, a set of codecs and filters necessary to play the movies. An alternative solution would be to use VLC media player or Media Player Classic instead of Windows Media Player.
On Mac OS X, you can use VLC media player (link above) to play the movies, or download and install Perian - a set of QuickTime components - that would enable you to view these movies directly in QuickTime.