John, I asked Martin about this via email and he indicated that he had the same problem. So, I am wondering what you are doing differently? My videos are .wmvs encoded with the Microsoft version 9 codec. I will attach a relatively small one so that you can play with it if you want.
Your post is very interesting because I had a somewhat similar experience. I have a laptop that I take home every night and a docking station for it here at work. With the tiny speakers on the laptop, I have to leave the windows volume way up to hear anything. The docking station, however, connects to traditional speakers. Well .... I had used the laptop to listen to the "Computer Guys" at wamu.org at home the evening before and had the volume WAY up. At work, I clicked on the original post and (like you) was about blasted out of my chair trying to figure out what was going on. I did not see the video at first and initially paniced that some type of virus had invaded my computer and that the voice was telling me (in a language I could not understand) that in 30 seconds it was going to do a format C: on my machine or some other disasterous act !
On the serious side, this is a great feature. I initially had a majority of students in my online courses who used dial-up. To accomodate them, I would zip up the videos and they could download, extract, and view them. They liked that because they could watch them without tying up their phone line while watching them. More recently, however, more and more of my students are getting dsl or cable access, so streaming makes a lot more sense. I have started to put both versions on my site - the .zip and the .wmv. It takes a lot of space, but I have a hosting account with 4GB, so it is not a problem.
The only thing I don't like about it is using the Microsoft .wmv technology in that it limits my clients. All of my online students are running Windows, so it is not a problem for me. There is a WMP for the Mac, so I don't think .wmv would be a problem for them either (haven't tried it though). I am not sure how many people are actually running OSs besides Win and Mac, but they are (as far as I know) left out of being able to view .wmvs.
I build my screen capture videos with Camtasia and it produces excellent quality .avi videos. Unfortunately, they are also very large in size (30 - 40MB is not uncommon). I found that by fiddling with the settings of Windows Media Encoder, I could make very good quality .wmvs of those same videos with a roughly 10:1 reduction in video size.