Why cant I download?

Date: Mon, 16 Jun 2003 13:27:18 -0700
Newsgroups: microsoft.public.windowsmedia.player.web
Size: 917 bytes

Hello, I was wondering if anyone could give me some
advice.
I have Windows XP, and have the latest version of Windows
Media Player. Recently, I decided to give downloading
music a go. Ive had no problem download audio files and
saving them on my computer. However, whenever Ive tried
to download music video files in the same way, it wont
work. Ive checked that the files can be downloaded etc,
and that they are compatable with media player, yet when
I click the "Save AS" button, Ive found that in the title
box, it says that the file is to be saved as an 'HTML
Document', and I cannot seem to change this. So, as a
result, when I do attempt a download, I get a small HTML
Document, instead of a music video! This is really
confusing me, as Im not very experienced with computers.
I have tried to download files from various sites, yet
its the same each time. Any help would be gratefully
received.