It’s not just Kylo that has this issue. Kylo is based on Mozilla’s XULRunner/Gecko libraries, much like Firefox. MozillaZine has a lovely support page dedicated to this issue:
http://kb.mozillazine.org/Windows_Media_Player
You should read the article. The stuff about installing the plugin for Non-Firefox Mozilla-based products (ie. SeaMonkey, Minefield) is pertinent to Kylo.
Short story:
You’re going to need to install a special “Windows Media Player Firefox Plugin” that the Technet division of Microsoft put together. You’ll then have to copy the np-mswmp.dll from its install location (either the \plugins directory under your Firefox install, or C:\PFiles\Plugins if the installer couldn’t find a valid install of Firefox) and paste it into a new folder called “plugins” that you’ll create under the Kylo install folder (Probably C:\Program Files (x86)\Hillcrest Labs\Kylo).
Yes… it would be awesome if Kylo did this for you. Why hasn’t it been done already? Mostly because it’s muddy waters distributing Microsoft software, even if it’s a freebie. A better solution is on the big list of things to do…
Post back if you run into issues…