Declaration: Xander takes a stand. (1.5 mB)
Right-click and choose "Save Target As" -- don't try playing it just by clicking on the link.
Windows Media File, and no, sorry, I can't convert it to anything else without getting a programming degree -- wmv is apparently *designed* to be a huge frigging proprietary pain in the ass. There is however a Windows Media Player for both Mac OSX and Mac OS 8.1 through 9x.