I have IE8, Windows XP pro, McAfee Security. When I play a video from any source online, it will not play all the way through without stopping and waiting for video data. I have DSL 6.0 extreme from AT&T, 2 Gigs ram. What could my problem be?

The problem is not enough bandwidth or network congestion.
There really isn't anything you can do except buy a faster connection or play video at a lower bit rate.