MPEG not opening in Internet Explorer - only prompting to Save/Cancel

Vista Ultimate

When clicking on videos on a webpage, WMV files seem to open by default just fine.  However, when I click on an MPEG video, it prompts me to either Save the file or Cancel.  At the bottom, it reads "The file you are downloading cannot be opened by the default program.  It is either corrupted or it has an incorrect file type.  As a security precaution, it is recommended that you cancel the download."

The default program for WMV and MPEG is simply Windows Media Player.  I assume I'm stepping on some Vista security thing.  How can I resolve so when I click the link, it opens the video in WMP?

Thanks.