Thanks for the replies.

Vaibhavkapoor: I have already checked my file associations in WMP and they are set correctly, plus I checked to make sure Quicktime or any other program isn't associated with those file types.

Welshjim: I realize that may be a way around it, however, there was a time when I could just click on a link and WMP would automatically open the file. This is what I am trying to achieve.