|Sorry for my brief intro; first timer, but problem solved.|
XP SP3 full update, IE7 full update, AVG security, Windows OS/Office full update.
When I click on a *.mpeg file in IE7 it would apparently 'download' the file and announce 'done.' but it would not open and run on my default Win Media Player. I would have to 'save target as' then open manually.
Found suggestion to find file, Open With, Choose Program, Open With, set as default - eventually worked. Think I had to reboot, but its working now.
Also made sure all other MPG files had default Win Media Player assigned in Control Panel/Folder Options/File Types/Open With.
Thanks for checking back. Hope this helps others.