Need help!!!!!!!!!!!!!!!!!!!!!!!!!a… your help!!?

Iwant to know how can i change the settings for the following matter wen i click on the video or someother file that is available for download i do not get the dialog box that says OPEN SAVE CANCEL but instead the windows media player opens up to play he video i wan to know where and how can i change the settings to make the dialog box that shows OPEN SAVE CANCEL apppear and also i do not have firefox i want this help for internet explorer and it doesnt involve site privacy i want to make this settings to all the sites any help is greatly appreciated!!!