Viewing .WMV files from websites

I have just got a new system running Vista. Normally on XP I can access
certain sites, click a link to a WMV file and WMP opens staright away and
starts to play the content as it's downloading.

Since having Vista when I click on the link it starts to save the whole file
to a temp folder and when complete opens WMP and plays the content.

The files are fully viewable once downloaded but does anyone know what I
change in the settings to view the files as I used to on XP?

Any help greatly appreciated
.

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