What media player launches when you click the feed link? Or, if not a media player what program launches? What program specifically is putting out that error message?
I assume you are running some flavor of Windows (XP, Vista, etc)? If so, it reads to me as if another, non-media player program has "stolen" the file extension association for m3u files.
There are several ways to correct this problem but I don't want to spend time typing a long response until I am sure you are running Windows and answer the other above questions. If you could reply with answers to the above we can go from there.