In order to play the video from the webpage, you will need to have Silverlight 2 or later installed. However, if for some reason you don't have Silverlight - you can always download the various formats (Zune, iPod, WMV, MP3, WMA) in the box labeled "formats" directly below the video player. Since this is a screencast, I would not recommend downloading the low/regular quality WMV - only the 2MB / High quality WMV.
The downloads and the video inside the player should have no problems playing on Win7, XP, WM 9/10/11, etc. Works fine for me on my Win7 RC laptop and all other machines I have.