Normally Mozilla-based browsers deal with multimedia files (for example, .wmv and .mpg files) by first downloading them, and then launching the media player. You can make them stream multimedia, as Internet Explorer does by default, by any of the following methods:
Install the Launchy extension. When you right-click on a link, Launchy will provide you with a list of external programs that you can use to open the link. Right-click on a link to a media file, and you can open it directly with a media player without downloading it first. The Launchy Homepage has instructions on adding applications it did not auto-detect.
You can configure the Quicktime plugin to stream the media in a browser window instead of downloading when clicked, so that you can play the file before it has finished downloading. Once the file has been fully downloaded by the player, you can use "File > Save Page As" to save the file without having to redownload it.