If you only see a white box in the location of where the Web Video Player is on your website, this means you did not upload all files and folders along with your player or that the files were uploaded to the wrong location. Everything must be uploaded to the same location as the page you want the player to display on for it to work. Also make sure not to use spaces or special characters (&*'()"#?) in your file name.
If you normally upload to a folder on your server called public_html, web, www, etc., the files would go inside this folder. In the Server Profile window, you can specify the name of this folder as the Initial Host Folder field. If there are any subfolders for your video player, they would be named after the initial folder.
Example: All of the files for my site are stored in a folder called "public_html" on my server (index.html, about.html, etc.). I want to play the video on the homepage, so I just specify "public_html" as the Initial Host Folder field when I upload my files. This lets Web Video Player place all the video player files and folder in the "public_html" folder of my server, right next to the index.html page, which is where the code has been pasted.
You may want to use an FTP client to double-check and make sure the XML, SWF, and video player folder were all uploaded to the server correctly. If you see the volume slider but not the skin, then the XML and SWF were uploaded but the folder was NOT uploaded to the server. This folder contains all the skin images (body.jpg, ff.jpg, rr.jpg) and all the FLV video files.