I too am having a bit of an issue with getting the player to work. I'm using Xampp 1.7.3 on Win7.
I've tried the hack described above to tweak the location of the video file, but that is not working for me. It does look like it needs tweaking though, as this is the relevant part of the source code for the page where the video should display:
As you can see there is a backslash in the location of the video. I believe this is stopping things from working, as if I copy this location into my browser bar it cannot find the video. If I tweak it manually so that all are forward slashes I can get the video to play. No amount of changing the methods.defaultplayers.php file can get rid of that backslash (well no amount of tweaking by me

).
EDIT: not sure the manual tweaking is working, as if I just give the path to the file in the browser bar it plays in exactly the same way. Not having seen how its meant to play, I'm not sure its working correctly. Will start and look at the other modules that can be used just in case Play cannot be made to work.
System info:
----------------------------------------------
Cms Version:
1.7.1
Installed Modules:
* CMSMailer:
2.0
* FileManager:
1.0.2
* MenuManager:
1.6.3
* ModuleManager:
1.3.3
* News:
2.10.5
* nuSOAP:
1.0.1
* Printing:
1.0.4
* Search:
1.6.3
* ThemeManager:
1.1.1
* TinyMCE:
2.7.0
* TemplateExternalizer:
1.2
* Archiver:
0.2.3
* Gallery:
1.3
* FormBuilder:
0.6.2
* Captcha:
0.4
* Play:
1.0.3
Config Information:
* php_memory_limit:
* process_whole_template:
false
* max_upload_size:
128000000
* default_upload_permission:
664
* assume_mod_rewrite:
true
* page_extension:
* internal_pretty_urls:
false
* use_hierarchy:
true
Php Information:
* phpversion:
5.3.1
* md5_function:
On (True)
* gd_version:
2
* tempnam_function:
On (True)
* magic_quotes_runtime:
Off (False)
* E_STRICT:
0
* E_DEPRECATED:
0
* memory_limit:
128M
* max_execution_time:
60
* safe_mode:
Off (False)
* session_save_path:
C:\xampp\tmp (0777)
* session_use_cookies:
On (True)
Server Information:
* Server Api:
apache2handler
* Server Db Type:
MySQL (mysql)
* Server Db Version:
5.1.41
----------------------------------------------