Had the same prob as OP. No Sky Player/MSN Video despite umpteen downloads (manual & auto) UNTIL download contained the following data:
20:45:03 - Extracting null-gb_null_29_BBPkg.mxf.
20:45:03 - Processing null-gb_null_29_BBPkg.mxf.
This changes entries in registry that control location. Unfortunately, patience seems to be the name of the game.