Is it only for wmv or mpg files or all file types? Try going into windows explorer >> tools >> file types >> delete offending files types that are giving you problems in IE. Now go and download 1 of those file extensions and associate it with the correct program and then add the file extension back in windows explorer through the tools >> file types etc.
If that does not work then try this. Open Windows Explorer >> tools >> folder options >> file types >> find the .mpg & wmv extensions and highlight >> click "advanced" >> check "confirm open after download."
edit - It seems my second option is what Microsoft recommends as well as the "official" method.
Not Prompted to Specify Download Folder for File