Downloading mpeg creates download box

[Guest]

For some reason, now that I download any kind of video
(mostly mpeg), a box appears indicating the video is being
downloading to a temporary location, then after it
downloads, Windows Media Player will play the video. This
never happened previously. Is there a something new in a
Win Xp update or other program that causes this?

 

[Guest]

I think I didn't make myself very clear. If I wish to view
a video such as those at
(http://www.digivid.com/media/MPEG.html), when I click on
to view, I now get a box indicating the video is
downloading to a temporary folder. It never did that
before and I wonder why it does this now, instead of just
playing the video like it used to.