We have been able to replicate the same problem when playing the file through the browser (the download link). Try to play through Windows Media Player instead (the streaming link).
Check your Windows Firewall, changes in your Antivirus or Windows Updates can reactivate the Firewall.
If you are in doubt about whether BroadWave Audio Streaming Server will do what you want we recommend you try the free download. Seeing the program in front of you often answers most questions