Windows 7: Save Dialog not prompting for media files

Ok, I'm a bit annoyed after looking forever, I thought I'd ask. I'm an IT guy and I still can't find the option. I have windows 7 and before when you clicked on a hyperlink that was a media file, e.g. wmv, avi etc it would prompt for save location. Now it opens the player which is WMP. I don't use WMP that much and I want to be able to left click again without having to right click, save target as. That's asinine how M$ changes things so much and makes it even more unuser friendly in their quest to make it user friendly. Why would it assume I wanted to stream it instead of letting me save the file?

I have tried the enable automatic prompt for file downloads in the security options in IE8 but that didn't work. The Confirm Open on File Download option doesn't exist in file types either like it did on XP to restore that option.
Any one know of a solution I would appreciate it.

TIA

Seriously?
This is a really active forum and nobody has any suggestions?