You should try and pay attention to the extention of the file.
If you can't see it on your computer, in your explorer window go to Tools > Folder Options then to the [View] tab and cancel the check near "Hide file extesion for known file types".
If you can't find it, rely on the file extension that shows up in the link : http://something.something.com/filename.extention
Relying on the icon of the file is a bad way to decide the file type.
Popular extensions for video files are
MPG or MPEG - MPEG compression format, openable by most video players including windows' native media player.
ASF - A microsoft native video format which windows' media player can play.
RA or RAM or RM or RV - The video format of "Real". To view it you can download Real Player. It's a bit tricky to navigate to it, but you can find a freeware version on their site.
MOV - A QuickTime format movie. Older MOV files can be played with windows media player, but most new ones can't. To be safe download QuickTime from Apple's site for free.
AVI - A native windows extension for video files. WARNING: AVI files can be of many different formats. A file named AVI can actually be compressed with a different technology. Most AVI files will be easily opened by windows media player. However, a very popular new compression type is called Div-X or MPEG-4. It's different from MPEG since it's more advanced. You can search for a Div-X player or plugin for windows media player on download.com .
Best of luck!