This is a WMV file with WMA audio. You should be able to play the file just fine using only Windows Media Player and Microsoft pre-installed windows codecs. It's possible that you've downloaded and installed some other codec which has hijacked WMA from MS's codec, and that might not be fun to debug. What I usually do is using Media Player Classic, go into the options. Go to Internal Filters. Uncheck WMV1/2/3 in the Transform Filters side. Then, Play your video. While the video is playing, right-click on the video, and click on the "Filters" submenu. You should see a few items listed. There will usually be 1 source filter (seen as the file name), 1 Audio Output filter (usually Default Direct Sound Device), 1 Video Output filter (usually something like Video Renderer or VMR9 or Overlay Mixer). And possibly an Audio Switcher. This leaves 2 other filters responsible for actually processing the video and Audio codecs. For a WMV/WMA file, you should see WMVideo Decoder DMO and WMAudio Decoder DMO. These are the MS filters. If you see anything else, that's probably your problem.
If they are there correctly. Then it's time to look into driver issues. But there's one more thing to test while we are in Media Player Classic. Go into the options and into the Output settings page. At the bottom is a dropdown labeled DirectShow Audio. Switch it to Default WaveOut Device and try playing the video. (Close the file that is playing before testing. Changing these settings while playing a video will have no effect. Or simply close MPC and reopen it.) This changes the output device. If you hear any difference at all, then there's probably something wierd going on with one of your drivers. Some sound cards have strange audio effects that you can set, and that's probably what is going on.