This is a usual error for IE which could occcur because of various reason.
Some of the solution mentioned here might work :
http://support.microsoft.com/kb/308260
Additionally, what Sharepoint version are they using?
-- If they simply upload the file content to their production area and access it will they still get the error (without using iFrame)
-- Try playing the same course of Chrome/Firefox and notice if you get anything there.
You can also press F12 while the course in played to check if you get any error in dev tool for debugging.
Thanks,
Anjaneai