Can not view MPG's w/ internet explorer

I'm sure it is something simple, but I can not
view/download MPG files with internet explorer 6.
Whenever I click on an MPG link or type one in, it always
gives me a Page Not Found error.
I have no problem with WMV files. click the link, and
Media Player opens up to run the WMV.

Media Player is my default MPG player. Checked that. Still
did nothing when I changed my MPG player to something else.
And I can run MPG's with Media Player just fine. Just
can't get IE to open/save them.

Any suggestions?
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