Many people receive the prompt "Do you want to save this file?" or "Save Target As" when clicking on a Internet TV station or media stream using an .ASX file. An ASX file is just a playlist linking to other media files.

The following steps will help resolve the issue in Windows Media Player.

1. Open Media Player. It is usually found on the Start > Programs > Accessories > Entertainment menu.
2. On the toolbar, click Tools > Options.
   
   NOTE: If the standard toolbar is hidden, you can often right click on the top toolbar to reach the Tools and Options.
   
   
   
   
3. Once in Options, click on the File Types tab.
   
   
   
   
4. If the option Windows Media File (asf) has a gray box with a checkmark in it like the image shown above or is not checked at all, this is the issue.
5. Simply click on the check box next to this option until you have a white box with a checkmark in it.