|"This is the message I get when I try to right click and Save Target As."|
Sometimes you are not trying to download what you think you are, and you get a message like that because you are not going directly to the file.
Hold your cursor over what you were trying to download, and look at where the link takes you to in your IE screen in the taskbar at lower left.
If it does NOT show http://..........(name of file).avi with nothing else around that, then it's not going directly to the file, and it can't be downloaded by RIGHT clicking on it and choosing Save Target As or similar.
In that case you have to click on the file or the link to it, in this case to display the file, then you should be able to save the file one way or another where the file is (displayed, in this case).