Streaming Clips with Macbook

I'm a new Macbook user and I am having trouble playing some streaming clips online. I am using Quicktime which works with some sites however there are other sites where it doesn't work at all. There is nothing special about these clips that I'm aware of, so I'm unsure what the difference is. I'm beginning to wonder if I need an application or possibly even switch to another viewing source other than quicktime. Honestly, I'm still having trouble understanding this application thing when it comes to using any software on my Mac. I love it, but still learning the difference between it and my PC. It has been suggested that I download the clips and then view them, however I should not have to download anything. Any advice on my issue would be great. Ask any more questions if needed.

Thanks