MS Internet Explorer opening MPG files in browser instead of Media Player

[kineticdesign]

I have a brand new installation of WinXP and Internet Explorer on my computer. When i clicked on a .mpg link on a website some dialogue box popped up and asked me something about opening from the browser or not. There was a button to click if you wanted it to remember your preference. I swear I selected for it to not open in the browser, thinking Windows Media Player would pop up instead. But it doesn't, instead it opens in the browser and nothing happens except some image "loading" icon appears in the top left. How can I have windows media player open up the mpg files?

thanks.