A little history:
In April 2006 Microsoft changed Internet Explorer so that OBJECT, EMBED and APPLET tags would bring up an annoying "Click to activate and use this control" message for anything interactive. The change was made in a "Security Update", though security was never the issue.
It was in fact due to Microsoft losing a long running legal case over a patent owned by EOLAS Technologies - I won't go into details, but the patent was certainly controversial and could have been used against all other browser manufacturers (though only IE6 upwards was affected at the time).
It had a massive effect on any webmaster who (like me) used a lot of interactive rich media on their sites - two years ago I had to rewrite the markup for all my Flash, QuickTime, ShockWave, Java and RealPlayer files (well over a thousand altogether), and both of my Windows Media files.
So it was a lot of (unpaid) work for webmasters, and all the software applications that spewed out OBJECT and EMBED tags (such as Flash and Dreamweaver) had to issue fixes too, but it took time.
Microsoft recently settled the patent case for an undisclosed sum (which was probably not the $521,000,000 awarded by the jury in 2003). According to the official IE blog the browser will be changed again in April 2008 to revert to the previous situation, so anyone who is new to this stuff probably has nothing to worry about.
That is a different issue - Windows Media Player for Mac was discontinued long ago, few Mac users will have it installed these days, and most will not know of the alternative plugins available. The fact that a stand-alone player was launched in your tests should have warned you to try a different approach.
The web is cross-platform or it is nothing, and I would advise using almost anything except WMV (which didn't even work on some flavours of Vista last time I looked).
You may wish to edit out the URLs you posted, which are discouraged here.