Media Encoder is another program. Do you have that on your computer? If you do, you'll need to open it and "activate" it in order to use it.
When you do get the video in the player, under the Properties - what is the the Video Type set to? If you have it as "streaming video" it probaly won't let you do anything unless the video is coming from a server (URL). Try chaning it to Progressive Download Video.
