can't run video files from websites

Tech-Archive recommends: Fix windows errors by optimizing your registry

From: DB (nospam_at_darkbulb.com)
Date: 09/28/04 

Date: Mon, 27 Sep 2004 17:03:41 -0700

In the past you could choose to open a file and not save
it, now the dialog box for opened gets covered right away
with a save only box, so you have to save it in order to
open it, anybody know how to change this, thanks

(example: http://www.darkbulb.com/videodownload.jpg)