Hi @Ewan_Lewis, I’ve just checked this myself to see whether there are any issues and I can confirm the video content is there and does play, for me.
This is the URL I have for the specific lecture:
I am using Windows 10 on a PC and browsing with Chrome (version 52)
Did you check for Flash? I just tested mine using the URL in your error message and got confirmation with Chrome it comes pre-installed.
I think Udemy attempt to use HTML5 video playback support initially, and if that fails fall back to Flash support.
Additionally, Udemy have a support page for Video Playback Issues, one of the items I know that has helped a lot of people is clearing the browser cache (temp files/cookies etc)