1st, what are you editing and what are your share settings?
2nd, some reading that may help
Saving & Sharing http://forums.adobe.com/thread/1137128
-Sharing to DVD or BluRay http://forums.adobe.com/thread/1137645
-Sharing for Movies http://forums.adobe.com/thread/1051093
-Sharing for Computer http://forums.adobe.com/thread/1058237
Just saw your post and wanted to leave a just in case note.
From the information that you and John T. Smith just exchanged, it would appear that you attempted to play back the saved project file (project.prel) with your VCL Player and Windows Media Player. You need to export the Timeline content to a file format that is supported by the player of your choice. By now, you have probably been there and done that.
This is the just in case note about projects and their project.prel file....let us say that you have two separate projects and you decide to put the content of one project into another. Cannot do. One cannot import a project.prel into another project.prel. You would have to export the Timeline of one and then import that export in the other project. Alternatively, those with Premiere Elements 8.0/8.0.1, 9.0/9.0.1, and 10 could use the ClipMate program to copy/paste between programs without issues. However, with Premiere Elements 11 there are some problems in that regard.