When the video opens, does it play for a while then stop? or just not download anything?
If it plays for a while then stops, leave it open a few minutes to do what its doing, then go back to it and press play. Depending on the program you use, there may be a progress bar at the bottom that needs to change colour all the way along before it can play properly.
Hope that makes sense.
I'm new to this myself so I don't know if there are other instructions!