Fear not for all is not in vain. Your ie settings needs to be adjusted, but there is even a simpler way. Get a download utility. This link is a good one and has resume support if you loose the connection. The link -
http://www.metaproducts.com/mp/mpProducts_Detail.asp?id=18Reason? Backdoor way of saving your file.
Firstly, if you don't want a download utility, this is the way to catch the file. When your mediaplayer (Does not really matter which player) is executing the file, (you are watching it) make sure to select the replay button, meaning it will replay the file till you stop it. Once the file has been viewed fully, to make sure the whole file has been downloaded, hit the pause button, minimise the app and then go find it in your temp file. But it does not neccesarily mean that the file is in the temp directory, it could be somewhere else. So you could run the "search" facility to locate the file if you know the filename.
Here enters the download utility, which will display the whole path to where the file is temporary stored. This is a sure way to get a backup copy to save permanently on your hardrive.
Whacko because hacking is fun!