The protesters demanded that they be allowed to go on air. Some 1,000 police were deployed around the television building but the march passed off peacefully.
The protesters want Bakiev to resign over what they say is his failure to alleviate poverty and carry out promised constitutional and other reforms.
The peaceful demonstrations began on November 2, when they drew up to 15,000 people.
Bakiev, who came to power in March 2005 in a popular uprising, has accused opposition figures of plotting to oust him by force.
The prosecutor-general announced today he would proceed with a criminal investigation into the alleged plot. Prime Minister Feliks Kulov earlier withdrew his original request for an investigation, saying it would be "hasty."
(with AFP, Interfax)