Usually when that happens to me, its because the .avi file or whatever is referenced with a dead link, so instead of saving the .avi its saving a .html or .htm which is probably a 404 error message page.
So try to single left click and see if the .avi will open automatically in media player or whatever app you use or whether it leads to a 404 error page or something like that.
HOWEVER.... If this is happening to you EVERY TIME, then you have a problem.
I've had a quick gander in microsoft knowledge base about a problem where this always occurs, but couldn't see any specific answers. All I can suggest is that you try updating to the latest version of IE and apply any additional service packs and fixes from windowsupdate.microsoft.com and then try again. If this gives you no luck, post back and we will see if there is anything else that can be suggested....