Using Window XP Home, SP3, IE7...

I have finally managed to locate the Temporary Internet files in IE7 (what a pain that was...), and I see various .flv and MP3 files that I have viewed and listened to, but I seem unable to open them from the folder. If I click on the item it tries to take me to the internet address to the right of the name. I simply want to be able to right click and select 'open with' and use the vlc player to view the flv files before deciding to save them on my hard drive, or to use the shift key while clicking on the item to open up a pull-down so I can select open with and then choose the VLC player.

I never can get the "open with" option to display. Of course I can copy the members to another folder, and then open them w/VLC, but I'm trying to save a step and do things the way I did them in IE6.