I've downloaded the MSI and installed both packages within.
Created a new SL project
From ...\Microsoft SDKs\Microsoft Silverlight Media Framework\v2.2\Silverlight\bin
Added the XAML from your documentation page, section "Building a Progressive Download Player"
Ran in IE, clicked play and nothing happens.
I know the playlist from the XAML is getting referenced because when I enter "Title" I can see this in the Playlist tab on the player.
The WMV file does download, so I know this works.
What important element am I missing here?