Yes, you will need to unblock 3rd party cookies, in order to view video.
In current versions of Firefox, for instance, follow these steps:
1. In the Firefox menu bar, go to Tools > Options
2. In the Options screen, select Privacy
3. Make sure that both "Accept cookies from sites" and "Accept third-party cookies" are checked.
4. In the "Keep until:" drop-down, select either "they expire" or "I close Firefox"
5. Click OK to close the Options screen.
6. Force-reload the page by doing Shift-Reload (Hold down the Shift key on the keyboard, while clicking the Reload button in the browser's button bar.)
7. The videos should now play successfully