What happens now then once you downloaded it?
If another program tries to play it then problem can be solved by going into OPTIONS in WMP and in FILE TYPES tab, you can select the formats you want WMP to open.
If your download finishes and then does nothing, you will have to deselect the option box on the download dialog box which says CLOSE AFTER DOWNLOAD COMPLETE, and when download finishes you will have the option of OPEN, OPEN FOLDER, CLOSE. Click OPEN and it should open in WMP. (if there is an option which states do this everytime check it).
You may also try in Internet Explorer, go to TOOLS > INTERNET OPTIONS > ADVANCED > RESTORE DEFAULTS > OK.