Here's an explanation lifted from a webpage:
A codec is software that is used to compress or decompress a digital media file, such as a song or video. Content creators use codecs because a compressed file takes up less storage space on your computer and can be transferred across the Internet more quickly and smoothly. When you play a digital media file, Windows Media Player uses a codec to decompress the file. Codecs are used to create and play nearly all music or video files on your computer or on Web sites.
Q.Why do I get a message that says my computer is missing a codec? A.You are probably trying to play a file that uses a codec that is not on your computer. When you try to play a file that uses a codec that is not on your computer, the Player tries to download the codec from a Microsoft server. If the codec is available, the Player installs it on your computer and then plays the file. If the codec is not available on the server (for example, because the codec wasn't created by Microsoft), the Player displays a message that your computer is missing a codec. If you are connected to the Internet, the message usually has a Web Help button that you can click for more information. If the Player can determine which codec you are missing, when you click that button, a Help topic is displayed that contains a link to WMPlugins.com, a Web site that lists a number of codecs that are available to download. The MPEG-2 and DivX video codecs and the ACELP.net and Ogg Vorbis audio codecs are examples of codecs that are not included in the operating system or the Player by default.
Q.How do I find a codec? A.When trying to find the right codec for a particular file, you can use WMPlugins.com or other Web sites. Typically, you should start with WMPlugins.com first. Recommend that you use caution when installing codecs that aren't listed on WMPlugins.com or Microsoft.com. If your computer is running Microsoft Windows Millennium Edition or Windows XP, we recommend that you set a system restore point before installing any digital media components. This enables you to return to your original system configuration, if necessary. If you get a message that you're missing a codec when you try to play a file, click the Web Help button on the message.
In the Help topic that is displayed, click the link to WMPlugins.com. If you know the name of the codec you want to find, you can go directly to WMPlugins.com Codec.
If the codec is listed on WMPlugins.com, follow the instructions on the page to download and install the codec.
Q.Does the Player always try to download codecs automatically? A.It depends on several factors. To ensure the Player can try to download codecs automatically, you must have Internet Explorer 3.02 or later installed on your computer, maintain Internet access while playing the file, and your Internet security should be set to Medium. In addition, if your computer is running Microsoft Windows NT, Windows 2000, Windows XP Professional, or Windows Server 2003, you must be logged on as an administrator or as a member of the Administrators group. Finally, do the following: On the Tools menu, click Options.
On the Player tab, select the Download codecs automatically check box.
If you use the Player in a work environment that is managed by a network administrator, you might be restricted from downloading and installing software from the Web.

Thank you. I have printed your reply and will study it. I hope I can figure out how to get the Player to run again. I was having no problems with it until I followed the directions given to me by the Hotmail support staff.

I wonder what I undid?

seagrass

Similar thing happens to me when I use CCleaner to clean out files. I listen to free XM on Aol. After cleaning up the computer, it tells me it can't play because it needs 'something.' I click on the box and it downloads, whatever, and it plays again.

Thanks Jane - things seem to be recovering. I listen to WBUR quite often and the site has a listening option listed as Windows Media "Codec: Windows Media Audio 9.1 at 32kbps, 44 kHz" (whatever all of that means) but it works.

But the option for Windows Media Player still does not work, even though I downloaded the latest version when the problem first started.

And I'm not able to view pictures from some websites, either - I just get boxes with red x's in them :o(
...but I guess that's another story.