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Welcome!
Assuming that you're talking about Windows Media Player, you need the Firefox plugin.
You can download it here -
http://port25.technet.com/pages/windows-media-player-firefox-plugin-download.aspx
Make sure that a file called NP-MSWMP.DLL is present in your Opera plugins folder, and appears in your Opera plugins list uder Tools>Advanced>Plugins.
If there is a file called NPDSPLAY.DLL in your plugins folder, delete it as it is the old WMP plugin which won't work.
If you've still got problems, look here.
Assuming that you're talking about Windows Media Player, you need the Firefox plugin.
You can download it here -
http://port25.technet.com/pages/windows-media-player-firefox-plugin-download.aspx
Make sure that a file called NP-MSWMP.DLL is present in your Opera plugins folder, and appears in your Opera plugins list uder Tools>Advanced>Plugins.
If there is a file called NPDSPLAY.DLL in your plugins folder, delete it as it is the old WMP plugin which won't work.
If you've still got problems, look here.
Opera 12.16 on Windows XP Pro SP3 + Opera 12.02 on Windows 98SE with KernelEx (Dual Boot) + Opera 20 on XP for testing only! - Dual 3.2GHz Xeons - 4GB RAM - ATI Radeon X850 Graphics 1920x1080 32bit Colour with Large Fonts