Just got this update from Winbeta.org!

This information applies only to users running Windows Media Player 9 Series Beta on Windows XP or Windows .NET Server together with a third party firewall software.

Problem: On Windows XP and Windows .NET Server the Windows Media Player 9 Series Beta calls into a new Winsock API for performance reasons. There are some incompatibilities when using this API with existing third party firewall software. For the Workaround, click Read More WMP9 Beta on Windows XP With Third Party Firewall Workaround