i need active x to open a downloaded audiobook

I purchased and downloaded an audiobook from SimplyAudiobooks.com. When I try to open in windows media, I get the error "Windows Media Player cannot find the file. If you are trying to play, burn, or sync an item that is in your library, the item might point to a file that has been moved, renamed, or deleted." Below are instructions for opening the file: All of our .wma audio books are protected by a security license to prevent the unauthorized copying and distribution of the file. As such, you will need to acquire the license to play the file. The license acquisition process is automatic the first time you try to open the file. IMPORTANT If this is your first time playing protected content you will have to install ActiveX Add-on before you go to the next step. Click Here to see our ActiveX installation instructions. Once the file is opened, you will be presented with the ‘Media Usage Rights Acquisition’ window. Enter in the e-mail address and password you use to login to your Simply Audiobooks account and then click the ‘Submit’ button.