Depending on your internet browser of choice, you usually have to download a plugin to get them to play directly from Xfinity Connect (or Smartzone if that's more familiar). I know with Firefox I had to download Quicktime to get it work, but if I recall correctly you can download the voicemail file to your hard drive then open the downloaded file with Windows Media Player in order to play it. I could be wrong as I'm operating from memory though. Not sure if this addresses your issue, but thought I'd give it a stab.
