I realized that playing movies with object
on IE has something to do
with the security level.
When the security level is "High", you can't play movies at all.
Situation is basically the same when the security level is "Medium" or "Medium-low", though the warning message is slightly different from "High" security level.
If you lower your security level to "Low" and if you answer "Yes" to the following dialog, finally you can play movies - handling of multiple alternatives is still weird, though.
