To download files in Internet Explorer:

1. Right-click on the link to the file you want to download

2. Choose "Save Target As" ... 

3. Choose where you want to save the file on your hard drive ("Desktop" or "My Documents" for example)

4. Click 'Save'

After the download is complete, double-click on the file, and it should open as long as you have the necessary software on your computer. (Windows Media Player, Real Player, etc.)