It sounds like you're using the wrong website. The videos on Ballroomdancers.com will not play on an iPhone, because they are served in a Flash container, and Flash is not compatible with iOS.

To view the videos, you will need to go to Ballroomdancers Mobile, which is located at https://mobile.ballroomdancers.com/. As of the writing of this message (4/21/2011), the "Learn the Dances" section is still not included in the official version of the mobile website, but you can try out the beta version at https://mobile.ballroomdancers.com/dances/.

Regards,
Jonathan Atkinson
www.ballroomdancers.com