OK....sounds like you're trying to run the file with your browser.
Just right-click the link , "Save file as..." or Firefox "Save link as..."
save the file, then use your preferred movie-app to run. It's a bog-standard, old style .wmv
Over here, running IE7 and 8, both kick up Win Media Player 11 to download and play (with the latest codec pack installed).
FF downloads the file itself. then opens the also installed Media Player Classic (again, with the latest codec pack) and runs the file in that.