yes it does, http://skynews-clips.videoloungetv.com/public/skynews/latest/galloway_060806.wmv is the link. if you simply left click then it will run windows media player and stream it. thats why i said to right click and save it and since we can see the extension = .WMV and not .HTML meaning its not html.
and i downloaded the video here, so i know it works.