This is either a Windows or Hotmail problem

Okay a friend of mine sent me a file in an email through Hotmail. I went to download it and a message came up about opening a window to play the message in, and unfortunately I noticed the "remember my preferences" box was ticked after I clicked okay.
It turned out that I couldn't play the file from that site, but now I don't think I can download any file straight to my hard drive from an email. How can I undo what I did, please help thanks.

In Internet Explorer go to Tools, Preferences, Advanced tab, try unchecking "Play videos in web pages" and "Play sounds in web pages".

Thanks but that didn't work. If it helps I'm using XP.

I don't really know, I don't use IE. But it seems like an IE problem. Maybe set up Hotmail in Outlook Express, and read your mail that way. It's fairly easy to set up OE to read a Hotmail account. Or else try a browser other than IE.