Ha! I got it working (for now!) 
Seems like the player is very sensitivce about such things as firewalls and security settings, and if you have anything other than the 'Default' level of security (i.e. Medium) it kicks up a fuss and refuses to behave.
In Internet Explorer go to Tools>Options, click on the Security tab and make sure the setting for 'Internet Zone' is Medium. Click the 'Default Level' button if necessary.
The above may also work as a fix if the diagnostics page keeps telling you that you don't have the Windows Media Player plug-in when you know full well that you have.
Those of you with secondary software firewalls (Norton, Kerio etc.) will have to experiment to see whether their settings are causing conflict. It is my personal opinion, but if you are running your internet connection through a properly enabled router (with it's own firewall) then you don't need another software firewall on top of Windows own effort, and those using ADSL modems can get away with one of the free firewall applications (e.g Kerio, ZoneAlarm).
And No! I haven't been tinkering away at this all night (see previous post), something woke me up early so I had another stab at it on the way back from the bathroom, 
As Ed Murrow used to say, "Good Night, and Good Luck!"