By default, Windows Media Player 11 does not support h.264 MP4 and M4V format video files. So even though both the XBOX 360 and Playstation 3 fully support these types of files, you cannot stream directly to them from Windows. Instead, you would have to copy them to a USB drive, or transcode them to another format, or use commercial software to handle the media streaming.
Following this guide, you will be able to stream (and play) h.264 files from within Windows Media Player 11. It is very easy to do, and will save you a lot of time and effort in the long-run.