wmv files open in a new window

Hi Everybody,

I'm having a problem in internet explorer where anytime I open a wmv file
from a webpage it opens a new window instead of opening media player. The
new IE window displays what looks like random number and letters, then the
download bar appears in the new window and I'm able to launch window media
player from there. However, I want to just be able to click on a link and
launch the video without the new window opening. I just upgraded to IE8, but
had the problem before with IE 7. My operating system is XP.

Please let me know if something can be done to fix this.

Thanks,
Kevin