IE8 under Vista

Before installing IE8 when I visited a site with a video (wmv or mpeg), the
system would ask if to Open or Save. Once Opened, the video would show with
Media Player. Now under IE8, the mpeg works the same as before but there is
no response when the video is wmv.
What can I do to restore the way it was?
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HP Pavilion Elite m9040n 2.4gh 3gb mem 640gb hard drive, dvd lightscribe
technology burner, Vista Home Premium, Office 2007