can't connect to poker site?

[BigBiceps]

Please help me, I just got a new computer.

I can connect to the internet via internet explorer, but I can't connect to any of the poker sites with their software, and I can't open a file in windows media player from internet explorer. I am thinking I can only make internet connections via internet explorer for some strange reason. I have been struggling for 2 hours and I don't know what setting I am supposed to do.

I have a cable modem that is going through a linksys router.

The firewall settings seem ok, and I am able to connect with my old computer via the same router, and the settings look the same, and both are on windows XP SP2.
Please any help.