Clicking on Link to .MPG File Will Not Open It Automatically

Running IE 6.0 under WIN2000. In the past if I clicked on link to an
.mpg file the file would automatically download and launch. Now all of

a sudden I get "Page Cannot be Displayed" messages. I cannot right
click and open it or open it in another window. However, I can do a
"Save As" to my hard drive and open the file there.

There is not a problem if I do this under Netscape, so I am guessing it

is not a Norton Web Security issue and that it is probably an IE issue.

One of the recent security upgrades or did I screw up something?

An added piece of information. The first time I click the link it
takes me to the cannot be displayed page. If I backup to the original
site and then click the link again I stay on the same page.

Any ideas on how to set this right; i.e., so that when I click on the
link the file downloads and opens?