Why Cant download Divx Movies To Computer Even Though I Have Divx Player?

I be on HavenVideo.com and when im trying to watch divx movies i can only watch them online, i click the download button and it takes me straight to windows media player where the screen stays blank, how do i get it to where i can click "run: in a pop up window again??
yea but i cant even get it to where the window with the option to run or save the file pops us