Checking the "convert to mp4" does nothing for you because there is nothing to convert in this course. You are using a Flash-based player to play a "Windows Media Services" streaming video from http://video66.phillips66.net. Since that video isn't a file but rather a data stream from a remote location, there is no way to convert it to MP4.
As long as you use the "windows media services" type for your video player, browsers will not be happy about it. It is a dying format and some forward-thinking browsers (like Google Chrome) are already deprecating it. E.g. when I launched your course in Chrome, I got "plugin not supported".
