Consider following these steps:
1) Install client application on the test machine
2) Load Fiddler(Web Debugging proxy you can download from here) on the test machine
3) Send to your Test Client a video Screensaver with the *.wmv extension, after the Fiddler was launched
4) Afterwards if screensaver fails and/or is not displayed, let Fiddler run for 10 minutes, you'll need to click 'File-> Save-> All Sessions' and send the resulting *.saz file to [email protected]
Also it would help if you could check this scenario on several machines (where issue was reproduced and also where everything worked as it should)
You also might have a look and let us know about which version of Windows Media Player are you running on these machines.