Fix this NOW. No bullshit, just fucking help me.

[James]

I'm not interested in any bullshit. I've been trying to figure this out for 3 days now, and I NEED answers. I don't need any shit, understand? Help now, and save the shit for something/someone else.

I'll do my best to explain this:

Before, when I wanted to play a video file from a URL (instead of saving it to my hard drive), a download window would show up, showing me how large the file was, how fast I was copying the file, how much longer until it was finished, etc., and when it was finished, Windows Media Player would then open up and play the video.

Now, when clicking a URL, it automatically opens WMP, and WMP just hangs there with the message "connecting..." at the bottom.

How can I change it, so that clicking a video URL will bring up that download window?