First, remember that even high speed connections sometimes suffer service degradations. Cable modem users share a connection with many others in their neighborhood, so during peak hours bandwidth availability may be limited.You may want to try manually setting your connetion speed in Windows Media Player, to avoid any issues of it misdetecting your connection.
To check and fix this:
Under the Performance tab, manually specify your connection speed
Users of firewalls should also make sure they have a fully updated version of their software, with the latest drivers. Finally, please make sure that you have all current drivers installed for your audio card. Some older cards have conflicts with Windows Media Player; the latest drivers will usually fix this problem.