Can't Play Podcast URLs From Clipboard

[RetiredEngineer]

Hi.

I run Win7x64 Home Premium with IE9.

There is a popular US radio news podcast called "The Dianne Rehm Show". I subscribe to this feed, and their instruction for playing archived shows is to copy each one's link into my MP3 player from the webpage. So I right-click the link and select "Copy shortcut" from the Context Menu. Then I go to VLC 2.0's "Media > Open location from clipboard", and check that the link 'http://feeds.wamu.org/shows/2012-03-09/ ... transcript' is in the "Open URL" text pane. But when I click "Play" all I get is the following Errors box ...

Your input can't be opened: VLC is unable to open the MRL 'http://feeds.wamu.org/shows/2012-03-09/ ... transcript'. Check the log for details.

Two questions at this point. What am I doing wrong? Where is the "log" located?

Addendum: I just tried to *download* the HD version of a You Tube video (the caption says, "Download HD Version (642 MB .mov)"). Instead of popping up its download bar, IE9 popped up the Microsoft Media Player and commenced buffering. I'm thinking there must be a way to channel this (and other?) downloads to VLC instead. Any help available on this topic?

Kind regards,
Harold Noffke

[VLC_help]

http://feeds.wamu.org/shows/2012-03-09/ ... transcript
returns 404 error.