It took me days to figure out a solution to this, so I'm posting for others who run across this issue. McAfee support (which stinks) didn't know how to solve it and I didn't find a solution anywhere on the Web.
In order to allow WDTV Live to use the "play to" feature with Windows Media Player, you must check the Enable UDP tracking button within Firewall - Smart Advice and Advanced Settings.
Filler, for now. We're waiting for new moderators to volunteer, at which time we know they'll make this community great. Interested in the role? Is being a moderator your calling?
You Sir, are a genius! Thank you very much!
Glad it worked for you. It drove me crazy trying to figure this out.