Hmm, that is quite strange. It appears to be working fine on my end. Usually you will be presented with a shortcut, such as what you described, when you have right clicked a link, instead of a downloadable file, and select "Save Target As...
In the below illustration you can see that there are two places where it says "Play
", both of which can be right clicked. Only one of these, however, are a link to the movie file. Be sure that you are right clicking the correct "Play
" button, as highlighted below.Cinema play button