Internet Explorer 9 Downloaded File Video

I just download a video from internet explorer9 when i click download it pop out and auto download , after the download done it direct me to the video(window media player) and I close the window media player the video gone , will the video file in my computer ?

When you click on "download" the video you need to "save" it to a folder. Otherwise it is just a temporary file and will be lost when you close down the media player.