Welcome to TR, Its great to have you here.
What i would try first is downloading and installing iTunes first. You can click here to download iTunes for free.
Apple - iPod + iTunes
The reason why windows media player will play the podcasts and not the vidcasts is because the podcast is MP3 format and the videos are M4V format which i beleive is Mpeg 4 format and i cant remember the codec the Rob uses while recording the vidcast. Try itunes, I like it alot better the windows media player and on my personal
PC vidcasts only play using iTunes. I too get the same error.
Let us know how it works and if you have any questions for problems let us know.

Again Welcome to Talkingreef