Yes, you can extract the url from the HTML-source and use mplayer:
$ mplayer -ao pulse mms://proedvid.stanford.edu/videocontent/knuth/musings/981203/981203-knuth-500.wmv
The playback (audio/video) works fine on a Ubuntu 11.04 system.
You can automate this a bit, e.g. via:
$ curl -s -S ' | \
grep mms | sed 's/.*\(mms:\/\/[^"]\+\)".*/\1/'
mms://proedvid.stanford.edu/videocontent/knuth/musings/981203/981203-knuth-500.wmv