Are you using windows media player to play it?
If so then just click it and when the link comes up with the mini player showing then click the stop button, then below it you should see in blue (left click to download) or something like that right below the player......then a link should pop up and say in blue (right click to download) left click this instead and then your media player should pop up and it will buffer etc. and d/l....but if you are using quicktime player i have no idea how to do it

sorry, if you need easier directions then PM me or just say so on here

ill be glad to help