My first thought is that there may be some setting for your internet connection (perhaps you're using a proxy) or firewall that isn't letting through the synth files (the .jpg tiles, etc.) as they're stored on a different domain name than the Silverlight viewer program or the pages that make up the site.
Could you please confirm that you do have Silverlight 4 installed? From what you say, I think you do, but it would be good to confirm.
Lastly, if you're a Windows user and have installed the Photosynth Windows app ( http://photosynth.net/create.aspx ), does the older Direct3D synth viewer work for you in Internet Explorer? If so, you can find the link to the D3D viewer for any photosynth (not panoramas, though) on the lower left of each synth's page. Here's one example: http://bit.ly/orbitalsynthd3d