need "open or save" prompt for .mpg and .avi files

Archived from groups: microsoft.public.windowsxp.perform_maintain (More info?)

everytime i directly download (i.e. copy and paste web address on IE of ) an
..mpg or.avi file, rather than giving me the option to download it diredctly
to a list it begins to automatically play in the media player. i have the
"notify when downloads complete" option checked in internet options.
likewise i have also gone into folder options > file types, selected the mpeg
and avi file types, entered the advanced options and checked the "confirm
open after download" box. this did not work. i simply want to save these
files to a disk in the way that is possible when right-clicking a link on a
webpage and selecting the the "save target as" option, only be able to do
this by copying and pasting the downloadable file's web address.